I don't think I've every received--or ever will receive--an RPG for Christmas, but my folks send me a check every year for a couple hundred bucks which I like to spend almost instantly on Amazon so that it doesn't get absorbed into debt and bills.
My current RPG wishlist is rather sparse as my birthday was a month ago and WotC hasn't come out with anything of major interest for me lately. The big present I bought for myself was a copy of the Wilderlands of High Fantasy box set which I've wanted for awhile, plus a few other odds and ends. But I have a never ending list of books to collect, which include:
*Star Wars Saga stuff which I just started collecting.
*Heroes of the Forgotten Kingdoms - I said I wasn't going to get this after getting the first, but I like it well enough; I will avoid the DM's Kit, though.
*Cathay Player's Guide (Earthdawn) - This won't come out until January, but I'm looking forward to new Earthdawn material, one of my three favorite fantasy settings (along with Talislanta and Shadow World).
*Pathfinder Chronicles - Lost Cities of Golarion - I buy about half of the Chronicles, this one looks fun.
*Various other Amazon Prime pre-orders and random finds on Ebay (if the price is right, which it rarely is).