Last year I went with art supplies (crayons, coloring books, water colors, markers, etc). Everything is really inexpensive right now with all of the back to school sales.
This year I bought a few random items from Oriental Trading, copied all of the pictures into a Word document and then let the kids to a scavenger hunt--so the goodies were also a game. OT trading has cute things that are better than the usual "junk" for cheap. We did water balls, foam airplanes, swirly lollipops, jump ropes, bubbles and stickers, I think.
I like the idea that other posters have mentioned about doing one nicer gift.