Mostly, I do not exchange gifts with friends at Christmas. When I do, I try to make it something special, but inexpensive. I think giving friends expensive gifts starts a tradition that may put an extra burden on them of trying to reciprocate when they might not be able to afford it.
That said, here are some things that I have given my friends: a hand knitted hat, a small watercolor that I did just for them, a miniature gingerbread house, a loaf of babka that I baked. Another thing that my friends and I might exchange are handmade items from a local arts and crafts show, or small gourmet kitchen items or a framed photo of the two of us sharing a special time.
I think homemade cookies are a great gift, too!