We didn't give our parents anything at our wedding. We gave our parents handwritten notes thanking them for their love and support throughout our lives, and thanking them for helping to make our day special.
After our wedding, we gave our parents hard-bound books with our wedding photos inside for Christmas (it was a November wedding). I used a service called blurb.com to make a picture book, and it had pictures from our engagement and wedding along with the story of how we met, how we got engaged, the song lyrics from our processional, and the reading that we had at our wedding. I put it together in about a week, and then had it professionally printed in a large format (this all sounds very technical, but it's really easy and the service walks you through it!) Those were our parents' big Christmas gifts, and they really, really, really love them. My mother has shown it so many times that she's getting ready to wear it out, and I should have a new one made for her!