S.T.
I agree with the others about the MP3 players--they're a bit much for such young kids. As for comforters, a bright and cute comforter with hearts or peace signs or hippie-type flowers (not chintz!) would be great for the girl and it would age with her. Or the black and white and hot pink sounded perfect for her. For the boy, something space-themed or cowboy-themed or sports-themed would be cool and he won't outgrow it for a few more years.
For the "cool toy," my daughter and nieces love craft kits. There are sticky mosaics (my favorite!), beading kits, weaving kits, etc. It's fun to work on these projects, and they are very affordable. For the boy, age-appropriate puzzles, or a set of tinkertoys or k'necs (sp?), or something he can build with would be great. Or if you want more of a "wow" factor, Santa brought my daughter some refrigerator magnets shaped like gears when she was 2. Three years later, it's still the one toy every kid gravitates to when they come over. It's battery-operated, and you hook the magnets together and they spin round and round. The set was not very expensive, but there are some more expensive refrigerator magnet gears that light up as well.
Hope this helps!