Lots of jewellers also have nice christening gifts. I also think that there are some nice things at Living & Giving. I guess it depends on whether you / they are religious or not. Things that I have heard of are:
Rosaries, Bibles or Biblical story books or other beautiful books (ie Beatrix Potter collection or something like that), Royal Doulton collectables (ie Bunnykins plates, moneyboxes etc) or silverware (like moneyboxes).