I have a few rules of thumb when gift-giving for women, be it at the holidays or any other time of year, and I share them in the interest of enlightening the young bucks 'round here:
1) It's the thought that counts. If you get her something she's been admiring in the store all year long, or something she mentioned in passing that you made a mental note of, or otherwise made a real effort to tailor the gift especially for her, this will take you far.
2) If she's judging the quality of a gift you've given her by the price tag, dump her. Not saying that you should get her a book of McDonald's gift certificates (no matter how much she may love Chicken McNuggets), but if she's expecting diamonds, you might want to find a girl who provides a better bang for your buck (couldn't resist the pun.) My point being that gold-digging trophy girls are for cheap sex, not meaningful relationships.
3) For gods' sake this should go without saying, but an exceedingly practical gift (the comedy trope about the husband who buys his wife a new vacuum cleaner for Christmas) will only piss her off. Plenty of time for that on non-special occasions or if she specifically asks you to buy something like that for her.
4) There are two types of girls who ask the question "what do you want?" The first kind, and these are keepers, legitimately wants to know so she'll buy it for you. The second kind is the one that if you say "Fallout: New Vegas" will immediately scream "you and those stupid video games!" So tell her what you honestly want---and dump her if she falls into the second category. Remember, Christmas and Valentine's Day are the two most popular times for couples to break up---I've got the December-dated divorce papers to prove it.