My sister and I stopped "exchanging" a while ago and instead we make plans to do something together and split the cost. It is usually a movie and nice dinner or sometimes a play. Its a win win as we get to enjoy something special - each other!
We recently started doing this with my in-laws who have everything and they love it as well. As much as they love the grandkids, we do a night out with just the adults, dh and dbil and sil and I split the cost and treat the inlaws. Its the time shared and the dinner with them and each other that is the gift.
We usually do a nice card in a gift bag so it feels like a present and then schedule the event for after the holidays. In this hectic day and age making time to do something together is a great idea.
Look forward to hearing others ideas as well.
TJ