I always just love to get:

Fabrics - My favorite is 40 ct linen, but anything up to 28 ct is always great - even small cuts since I stitch a lot of smalls - I love both hand-dyed and standard linens and evenweaves

Fibers - love them all

Scissors - love to collect embroidery scissors!

Needles - I primarily use size 28 needles, but also use size 26 when stitching on 32 and 28 ct fabrics

Finishing items - cotton fabrics, ribbons, beads, charms, tassels, long pins for pinkeeps and such are always loved

Personal items - body lotions and creams, shower gel, candy (I don't each much sugar, but DH loves to see if there is candy in exchanges), flower seeds, cat toys and treats