Oh boy! My two favorite subjects - holidays and saving money! lol
Here are some of my favorite groups on Yahoo
http://groups.yahoo.com/group/WasteNothing/
http://groups.yahoo.com/group/Friendly-Freezer/
http://groups.yahoo.com/group/Frugal_Moms_Living/
I love to cook and bake so I make cookies, cakes, pies, etc. for the holidays. I buy Christmas tins during the after holiday sales and save them for the following year. I then write a personalized Christmas card to attach, including the recipe for whatever goodie is included and give that.
I also have a big basket downstairs and I save all those free samples I get in the mail throughout the year and use those as stocking stuffers and "filler" in gift baskets.
Soups, cookie mixes and cake mixes in a jar with a pretty bow are fun gifts for those who like no fuss cooking. You can even add the "big" thing too. For example, I gave my sister some pans, cooking utensils and a few "starter" kits for some of her favorite foods. (She is in college).
In the last few years I've taken up digital scrapbooking. It has been so relaxing and much fun. Last year, I scrapbooked our baby's first Christmas, added a few video clips, some Christmas music and burned DVDs for our parents. They really enjoyed seeing her celebrate her first Christmas and can watch it again and again.
Maybe you can go to the library and help each child pick out a book or magazine of Christmas ideas and the family "rule" is each one has to make something for a sibling. Or, maybe each night a different child gets to make the family meal and has to add a special holiday treat of their own choosing (I don't know if that's possible depending on your children's ages).
Every year we pack a picnic of cheeses and crackers and such and go driving around looking at Christmas lights. It costs nothing but gas and time and is fun.
Another fun thing we've done is go to the homeless shelter and help during the holidays. Or, we "adopt" a family to buy for and forego gifts between us. It has meant so much to me to be able to reach out to other families.
There is no limit to your imagination! Good luck.