Giving and receiving are good things to learn to do well and to teach your children to do well.
With some people, it could even be a little prideful to say, "No, don't get me anything," and at Christmas - when people WANT to give - it's definitely unhelpful.
Even my husband's aunt, who is a lovely lady but who says the above sentence all the time, gets something from us. One year I made her a little ornament for her tree, and she did like that. Since then we always make a donation to a particular charity in her name, and she likes that, too. She gets biscuits for her dogs from us, too - an odd gift, but she likes gifts for her dogs.
You and your husband are a team, so if you can get a little gift for him, let him get a little gift for you. Make sure it's in the budget... even if that means it's a pack of gum for him and a lollipop for you. Make it something light and fun, so you won't feel guilty. There will always be places where money has to go, and with budgeting for these two gifts you won't have to feel as if money has been stolen from the light bill or the next pair of shoes.