Assuming you're in a relationship, even a new one, some sort of gift exchange is generally expected. With a budding romance, however, things are a bit more complicated, especially for women.
Men are generally terrified of holiday-induced coupledom and freak out at any sign the woman is trying to use the holiday freeze as a chance to create permanent status. So, how do you pick a gift that says "I like you and I'm thoughtful" without sending the message "I know we just met last week, but I've already started sneaking tampons into your medicine cabinet"? The key here is to give your guy a gift that would be suitable to give your boss.
Think music, (no John Tesh, please,) sports stuff, (NOT his-and-her memberships to a gym,) or a new tie. Whatever you do, don't give your guy part one of a set of ANYTHING. Otherwise, you might not be around to see his birthday/your two-month anniversary/groundhog day. Worse still, you might wind up stuck with parts 2-7 of whatever you had in mind for your sadly transparent romantic instalment plan.
Say you're in a long-term relationship, and you're just biding your time until January. Well, there's nothing that says, "I can't wait to dump you" like a crappy or impersonal gift. Women who are in it 'till January will generally try to fake it and will give a gift that is not overly personal, but also not a clear indication of relationship doom. Men, however, frequently become affected by short-timer's disease and end up giving reasonably-priced, gift-wrapped-in-the-shopping-bag, white-elephant-esque gifts that have been purchased at either the electronics store, or worse, the Gas-N-Go three blocks from your apartment.
A terrible gift has long been a sign of impending breakup. I've heard dozens of stories of three- and four-year relationships that ended bluntly following a bizarrely bad gift exchange. It wasn't the gift that ended the relationship, it was merely a sign of things to come.
Of course, a bad gift doesn't always have to mean your paramour is planning to dump you like last week's spaghetti once January hits. It could just mean that your sweetie's madly in love with you, but has really horrific taste -- just maybe, you can look forward to many, many years of individually-wrapped-in-cellophane roses, radio-controlled cars, sausage-of-the-month clubs and green plastic phones.
Hang in there kids, the thaw is coming soon.