Here's what my husband and I do:
From january we pay attention to when the other says "Wow, this would be nice to have..." or "That is one neat thingymabob!" and we write it down. I write down what he says and he writes what I say.
If the other mentions the same item again several times over the year, we put a dot in front of it, so we can see what item is most desired.
Come december (and birthdays), we each have a pretty long list of what the other person wants and a really good idea of what to put under the tree
And the neat thing is, we always forget what we have earlier mentioned as a desired item, so we get surprised when we see what we get
I am going to buy my husband a new gfx card for the computer, since he has whined over the performance in EQ2 which we play together. I know he will jump shyhigh with joy over this, since he thinks we cannot afford one