For the parents if you can get a cute picture of the 3 kids together (just a regular photo you take) and put it in a frame for them. That would be cute and not expensive.....sentimental too. If you had them in like red shirts and santa hats and take some white paint and put Christmas 2010 on like a black frame. Just an idea.
What about like a movie basket for the whole family. You could put a kids movie in it w/a couple bags of popcorn, some koolaid bursts or jammers, etc in it and it would be for all of them to do as a family.
You could make little ornaments with the kids homemade and put their names on them with the year so they can put them on the tree.
I have had my kids make things for ladies at church. Goto the Dollar Store to buy what you need. You take a bottle of the baby lotion (comes in pink bottle), a container of petrolium jelly (vaseline) and a container of Vitamin E. I put all of the lotion, all of the vitamin E and 3/4 amount of vaseline in my mixer and mix it all up. Put into containers (like baby food jars etc) and that is the best hand cream ever!! It comes out smelling good and does wonders on your hands and feet.
I hope I haven't bored you with these things. Just thinking off of the top of my head.
Oh, if you made the parents a cake......I made the kids teachers cakes last year and they were a big hit! I got those lil square aluminum foil cake pans w/the plastic clear lids over them-at the Dollar Store. I made them each their own Holy Cow Cake! Lucas (our oldest has the same teacher this year-she does a split class) said his teacher has already said if we wanted to send another cake this year at any time it would be well received! If you want the recipe for that I have it posted on My Favorite Recipes on the recipe section on the board. :-)
Good Luck!!