Well I don't know about you, but my poor parents do and buy so much for my horse all throughout the year that I hardly get anything horse related for Christmas. My mom always says on Christmas morning there will be a gift bag sitting under the tree thats full of receipts.
I think this year I'm getting a new helmet, but considering I've fallen off 5 times in my current one(one of those resulting in a concussion.....), a new one isn't exactly a want.....
Some goods things that everyone needs though are saddle pads, special horse treats, new boots/chaps, etc. If there is anything you've been wanting/needing thats really expensive, now would be a good time to ask for it.
Have you been showing, or is that something you're going to need to be outfitted for? If it's the second, that makes your Christmas list easy, albeit expensive. Otherwise, schooling breeches, pads, horse clothes, etc.
My mother is all-knowing and always stuffs my stocking with hand/toe warmers. If you're looking for cheaper gifts instead of one-ticket things, I aaaallllways want nice warm gloves, underarmor, and reading material (training books, rider bios, and if you don't already have it Hunter Seat Equitation by GM!!).
"Things turn out best for the people who make the best of the way things turn out." ~John Wooden