When my older kids were in their teens I used to ask them for a list. I'd take DD19 shopping at the mall for clothes--she would try on stuff and rate it for me; next day, I'd return to the mall and buy the things that i liked, knowing that she would also like them.
Now that they are 19 & 26, they really don't want me picking out their clothes and stuff. And their needs are so different, it really is hard to buy for them. So we give each one a sizable check, to be used as they see fit. DS26 is moving into a new house in December and he will need lots of things. DD19 starts her culinary classes in January and she will have to buy her knife set ($450~!) so that's probably where her money will go.
Christian is the easiest to buy for. He doesn't "get" Christmas. All he's interested in is the cookies and cupcakes, the crunchy wrapping paper, and the tree lights. Otherwise, he could care less. So we save a LOT of money on him at Christmas! (Lest anyone think I am too cold-hearted, we do buy him a couple of toys, some snacks for school, warm clothes and PJs.)
ETA: I do like to give "experiences" rather than objects. Since my young adults are not established well yet(they don't get much vacation time, nor do they have much expendable cash), I like to invite them to do things with us. Last year it was a Caribbean cruise. This year it was a one night trip to a special light show. So, it's not always a terribly expensive thing. But it makes them feel like they're still included (which, of course, they are!)