Go to the grocery store. I know, it's strange; but if you are in an exotic locale you can usually find great treats here. Interesting hard candies and bubble baths from lands far away will be an instant hit with any kid.
Marketplaces will have lots of stationary and paper options. Look for pretty handmade papers and notebooks for the budding artist on your list.
Have something made! Bring along the children's names, sizes and physical statistics for reference. Many Chinese shops can carve stamps with the child's name in traditional characters, and tailors can whip up pajamas in no time without much fuss for fitting.
Think about the child's interests. Potential chefs will love beginner chopsticks or French cooking gadgets; musicians might like packable flutes or cymbals. Be creative!