Making everyone an ornament can be really inexpensive and touching.
Last year, since both my sister and I got married, I made my family members photo cube ornaments with pictures from our wedding, and my parents wedding...little family keepsakes. One year I made salt dough (doesn't get much cheaper), cut out little boy and girl figures, and painted the ornaments to look like their recipients. I make sure each ornament has the year on it. The tree is filling up with keepsakes, and most people really seem to like it.
Last year was the year of the hand knitted scarf/hat set. I have burned Christmas Mix CDs (those were the -really- economical years...it was so inexpensive. We got a microphone and recorded little messages to put in with the songs, and customized the mix based on who it was going to. We also sang a couple of songs and mixed those in). I've done photo albums, baking mix baskets (thats another cheap one...you can make amazing gifts with flour, sugar, spices, baking powder...basically all your cheapo baking supplies, mixed in correct proportions and bagged up prettily with baking directions). I have also made homemade bath products...it is easier and cheaper than you think. All you need are fragrances, soap colors, and some bases (soap base, lotion base, salt base, shower gel base)...for lotions and gels and salts, you just mix a little color and some fragrance into the base, package up, and label. For actual bars of soap, you melt the base, add in your colors/scents/additives, pour into molds, and let set.
The cookie baskets are relatively new, and a way for me to connect with my Grammy, who died when I was very little. She used to make them every year and my mom would help her deliver. I use some of her recipes, mixed in with my own ideas and creations, and even bake her brownie recipe in her brownie pan. It's very special to me (and also a great way to cheaply send a little cheer to the people you're not as close with...I made 20 or so baskets last year for a little over $60, and they were FULL and well-appreciated. I also gained 5 lbs, but we don't talk about that
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