Heya Michelle....Baby's first christmas gifts are all over the place at the min. If you want keepsakes like decorations for the tree, Stocking's for the fire etc, I would recommend Stores such as Toys R Us, Mothercare, and even Wilkinsons and woolie's!
As for a photo album, have you tried Photobox.com, Snapfish.com, and Truprint.co.uk? They offer a whole range of album sizes/styles etc. which you can personalise to be parents/grandparents or whatever albulms!
Hope this helps! Wish My little fella was still on his 1st xmas...now he's got a list and wants the lot!!!!!