There are two Christmas Cookies I make, but one is really expensive and the other is a pain in the back end.
The expensive: Almond Cloud Cookies (yes, from the King Arthur Flour site, but no gluten)
http://www.kingarthurflour.com/recipes/almond-cloud-cookies-recipe
The pain in the back end: Royal Sweets with chocolate balsamic ganache:
http://www.startribune.com/lifestyle/taste/180895521.html
Both are worth it for myself, but I don't know that I'd bother for a GF coworker.
I have a lot of GF friends - only one needs to be so careful they wouldn't eat a homemade treat that was made in a gluteny kitchen. One cooks with flour all the time herself as a semi-professional baker - she just never eats her own gluteny creations. So ask if you want to do the bother.
Candy is also good. There are a lot of Christmas candies - fudge, caramels, nut brittle, divinity - that are supposed to be GF and feel like the holidays to a lot of people.
However, as a ten year GF person who participates in the work cookie exchange - I don't want or expect GF treats. In fact, its nicer if you make and bring the stuff I don't make in my kitchen - Mexican wedding cakes, spritz, cut outs. I'll be hosting or visiting all holiday season, and I'll assemble a plate of cookies edible by most people - and I'll have yours. That's why I participate in the exchange - so I get gluteny cookies for my kids and my holiday guests. I make the two above, plus fudge - and therefore have my holiday treats set for my own needs.
(A friend makes these every year - I love getting these. But talk about pain in the neck. Its a GOOD friend - I'd never do this for a coworker myself unless it was the type of coworker that was also a good friend:
http://www.taylormademarket.com/chocolate-cherry-mouse/)