I usually give books or art supplies of some sort to my nieces and nephews. They're all the kind of kids who enjoy those things.
Something you can give to a family, a great keeps-on-giving kind of gift: A membership to a museum or a zoo. My siblings and I LOVED this as children, and for my own kids we used to rotate memberships -- science museum one year, zoo the next, etc. Don't forget, too, that memberships often have reciprocal entry agreements, so if you're a member of the science museum in your hometown, you may get free entry to a history museum in a town where you're vacationing. With some memberships, if you put the membership in grandparents' names, they can take all the grandchildren.