Seriously, StratusRose, this is what we do. We sit down together and figure out how much we are going to spend on gifts. We currently have budgeted for $50 Christmas gift per person, including the kids. This is just for our immediate family, not the extended family. That way we both agree to how much we think is reasonable to spend, we know what the other expects (and thus no disappointments), we don’t get carried away spending way too much on each others gifts, etc. I think you should sit down with DH and just talk about it. If he still insists on nothing, you could say “Let’s both get something for each other that has meaning but costs no more than $20, because it would be special to have something to open on our first Christmas as a married couple.” Or you can agree that getting ready for your baby is your Christmas gift this year. Or you can agree that you get to pick a charity to donate $X to in his name and he gets to do the same for you, with it being a cause near and dear to the other’s heart.
One thing that I completely do not agree with is the mentality of “his” and “hers” money in the family bank account. If someone holds those kinds of attitudes, they should question why they even bother to have a joint account in the first place. When I was the sole bread-winner during our first year of marriage, I never thought of all that money as “mine” and when DH bought me gifts I didn’t think “Well thanks a lot, I had to pay for that MYSELF!!!

” That’s just not the way a loving marriage works IMHO. I knew that my DH was helping our family by getting an education so that in the future when we had children I could be a SAHM, which we both thought was best for the entire family. Now that he is the sole bread-winner, he knows that I’m also helping the family by staying at home. Caring about the other one and the well-being of the family is what matters, not the nitty-gritty of who is earning what dollar amount. But at the same time, it is important to respect each other’s feelings about money and come to an agreement on how to spend family funds on gifts.
If you do decide to buy gifts for each other but can’t use cash (such as buying online), here’s an idea that has worked in our family. For the given month, I agree to only use the ABC credit card to buy DH’s presents, and he agrees to only use the XYZ credit card, and we each stay away from the respective statements!

Also, you can have the gifts shipped to you at work so that one doesn’t mistakenly open the package thinking it’s their gift to their spouse only to discover it’s the opposite way around

! Or one can have it shipped only to home address (or to mom’s house, or wherever) and the other to work, etc.