I have twin girls and some of the things I liked best are cute picture frames w/ 2 slots (need one for each girl) and we put a picture of each girl the day they came home from the hospital and attached a birth announcement to the back of each. One can be displayed and one can be put in the other child's keepsake box.
I also bought a really neat 'briefcase' for each baby - it came w/ pre-made holders for SS card, birth certificate, I made one to file away bonds that people bought the girls and most importantly their records from the first year of Dr's appointments. Very helpful to have one place to go to when all this stuff is needed. Here is a link - it even has a cute place on the front for a picture! http://www.organizedfromthestart.com/
The other thing I would do for them is create a little book where they can write down each child's mild-stones (sitting up, walking, etc.) We didn't have the time or the energy to make sure we captured all of these and we've actually been asked this information re: history of the kids. We knew they hit them all w/in the normal guidelines and just used those date ranges but it would have been nice (not to mention less embarrassing!) to have had all of the correct dates for each girl.