Last year my 3 year old wanted that Barbie house she heard about at daycare...$300---yeah RIGHT!!!!
It was the perfect opportunity to set the Christmas tone and explain "Santa does not always bring what you ask for, sometimes he has a better idea, but the important thing is to be thankful and happy for what you get....." A couple days after Christmas when my daughter did NOT get the Barbie house, and we never mentioned it, she declared, "Mom! I didn't get the Barbie house, and I still feel happy!!!!" Then this year, her younger brother was pointing at a Chuck the Truck thing on TV, and she said to him, "Now remember, Santa does not always bring what you want." Luckily she accidentally wants something cheap this year, so they'll each get what they wanted. :)
It's not easy, but think about it, in this economy, MOST kids aren't getting what they want from Santa! BTW I am TOTALLY stealing emrld444's copyright and house rules things going forward-genius!