I also do a lot of consumables:
-fancy jam and tea towels for grandparents (jam gets eaten, tea towels are always a great gift)
-wine and a wine-based tea towel for sister
-specialty fudge topping for Dad's nightly ice cream
-Socks for Mom:
http://consciousstep.com/ (OK, super over priced, but I see this as basically a donation in her name, and she still gets something to unwrap on Christmas.)
-DH gets tickets to see John Oliver live (and obviously he'll be taking me).
I'm also thinking that rather than buying the jam for grandparents, I might make a few loaves of cinnamon raisin bread the day before Christmas and gift them that. Gifts are increasingly coming from local, slightly more expensive places that are either specifically Chicago-based, charity-minded (like the socks), or more quality items (if they get "stuff").
I thought about asking my sister to go halfsies on a REALLY nice cashmere scarf for my Mom, so as to replace all her crappy cheap ones with something really beautiful and quality (the ones I was looking at were about $150 pashminas), but then I realized she has a very different relationship with her "stuff" than I do and that I'm transposing my own desires onto her. So socks it is.
I think this gift giving thing is harder with small children, because at this point I feel like all the adults (there are no tiny ones in either of our families yet) are simply giving each other practical stuff (HOORAY!)
DH and I hoping to start a family next year, and the gift giving for itty-bitties at the holidays is the one thing I am super-concerned about, since our potential progeny would be the first grand-baby AND great grand-baby on BOTH sides of our families...