I'm with the others that we give our kids an amount of money for souvenirs and they can choose what to spend it on. When it's gone, it's gone. We haven't had too much begging for things with that system.
That said, there are some things that you can get cheaper at home. Like another poster mentioned, we bought a light-up "spinner" thing at the
Disney Store for 1/3 of the price that similar toys were selling for at WDW. (Actually, grandma bought it because I thought it was junk, but he ended up *loving* that thing and it was totally worth it.)
Glow bracelets could also be purchased much more cheaply at home. Last time we were there, a nice family offered my kids some of their extras and they LOVED them. We might be packing some for our next trip.
If you're looking for little fun things to keep the kids entertained in line, I've found that matchbox cars work pretty well for "driving" along the railing or up my arm. If you want to keep it Disney themed, I think they still sell Cars (movie) toy cars.
Depending on the age of your kids, my sister found "sticker puzzles" that I think would be great while waiting for a show/parade to start, etc. They come with a sheet of square stickers and a grid. When you match the numbered stickers with the appropriate spot on the grid, it creates a picture. Here's a link to Disney princess sticker puzzles, but it looks like they come in a variety of Disney- and non-Disney varieties:
http://www.amazon.com/Princess-Sticker-Puzzles-Lee-Publications/dp/B000RN2576
And we've found old fashioned games like I Spy, 20 Questions, and Rock Paper Scissors work pretty well for killing a few minutes, too.
