It can be difficult when you are aware that they don't "need" anything. I like the idea of a simple gift that has meaning. I love the idea of the framed birth statistics. a memento box with a newspaper from the day the child was born (you can call the newspapers and get them usually). you can add in a list of common items prices: a gallon of gas, bread, milk, etc. and some current events that happened. (my brother was born just hours after Kennedy was shot, so it's interesting to see different takes on that).
I have given in the past a cute outfit with a handmade blanket (crochet). I make it out of chenille yarn and small enough to cover over car seats, or for baby to carry around when they are mobile.
But recently have been including an index card file with dated index cards (no year). I also give small decorative clipboard and pen. The idea is that the parents can put the new card on the clipboard and hang it like a calendar. at the end of the day, the parents can write what happened that day (just a few words), if there are any firsts, etc. then they put the card at the back of the stack and put the next card on the clipboard. It's a perpetual calendar, and when they start the next year, they can see how much the baby has grown and also assists in dates for the baby book. They can add pictures in every so often as well. The moms I have given these to have loved them. They said it's easier to remember on a daily basis what happened, and no matter how tired they are they will always write out a sentence or two.