My Mum bought my baby (yes even though it us unborn) for christmas the Beatrix Potter box set of books (every story every published all illustrated and in hard covers) and a really soft teddy.

I am not into having heaps of soft toys around so we will just start with the bear and then the books when it gets a bit older.
My mum buys things for her future grandchildren and I'm not even in a relationship yet alone married! (no pressure there!)

A nice idea is a small teddy - a flat kinda handmade one, that you wear inside your bra then put in the basinet with bub so your smell is close by while they sleep.