There's the super cheesie gift: chocolate, even if it's a good brand, it'll probably say you didn't care too much about what you gave them.
Try buying them a recording of their favourite artist. Or perhaps a musical dictionary or encyclopedia if you're wanting to get something pricey.
Treat them out for a performance at your local orchestra? Then maybe some dinner? Gift certificate?
But NEVER give cash, that's just rude and inconsiderate, (but if I got cash as a gift, that be $$$ in my eyes)