Since Dollar Spots have been mentioned a few times, I thought I'd point out that Target actually has several $1 sections in their store format. In addition to the Dollar Spot, there's a side of an aisle in either Pharmacy or Health & Beauty with dollar items like travel size toiletries, shower poufs, cosmetic bags and the like. Likewise, Michaels has its own $1 section. I've gotten coaster packs, ornaments, stamps, punches, stickers, and magnetic bookmarks that were a hit. Maybe more traditional items like planners and calendars would fit the bill for others, they've just never had any to my taste. There are more $1 items by the registers, such as mini Sharpies. There's a chain called Five Below that carries $1-$5 items, many of which would take up a lot of space in a stocking. The back wall has nifty cosmetics, toiletries and novelties for $1 each, like a full dental care set (including mirror and pic, oddly enough) or a tin of novelty band-aids. You can get a bumper crop of full sized board books, stickers, and coloring books for cheap.
For the very tight budget, I've had great luck with thrift stores, public libraries (or used bookstores, friends of the library sales, etc.), and Freecycle. At the charity thrift store (not a Goodwill), I can load up on childrens books, small toys, wild looking scarves, and costume jewelry, especially the big geometric 80s plastic jewelry, for under $5. I recently brought home a 6"x6"x6" wood bead-on-loopy-wire toy for 25c that was a huge hit, and ours is a pretty scuzzy low rent thrift store. At the library, I regularly check the discard bin and get new books that people have dropped, hardcover library discards, or even the occasional book on tape for free. I never pay more than 25c a book at used book sales, although I usually get only half off at a used bookstore. As for Freecycle, ask and you shall receive: I've gotten tons of leftover arts and craft supplies, back magazines for a collage kit, full size wooden toys, domino sets, and all sorts of other things.
I wouldn't discount your local pharmacy, supermarket, or non-chain toy store, either. Recently, all the locally owned toy stores I know of have added these really amazing $1 bin sections by the counters that have had terrific finds in them: little bags of metal "pirate coins," tin soldiers, bags of marbles or jacks, a small metal slinky, packs of cards, tops, mini puzzles, and wood dice, for example. The fair trade store, or a "chain" fair trade store like Ten Thousand Villages had tons of handknit finger puppets for less than a buck, and good fair trade mini chocolate bars for 5c. At our local pharmacy (the chain one) we routinely find $1 DVDs, which are always of the cheesy family film variety, but around the holidays those cheesy family films can be pretty good older Hallmark films or classics. There are also stickers, cheap cosmetics, and little indulgences like shower gels or bath bombs for a fair (less than $1) price. Same thing at the grocery store.
If all else fails, there's always DIY. I'm not above collecting tins and nifty small jars from recycling. I've made bath salts, sugar scrubs, bath "tea bags" and all manner of similar things before. I've made liqueurs and infused oils by steeping ingredients in vodka or olive oil respectively then decanting into a well cleaned grolsch bottle (it's a resealable beer bottle).