The British website manchesterchildren.org has a Baby Buddhist starter kit. If you don't want to place an overseas order, you can study this and assemble one of your own.
Check out this Buddhist children's book list for readable Buddhist gifts.
CatholicChild.com is a marvelous and growing Catholic site brimming with creative special-occasion gifts for children.
From Bible covers to plush bears, Christianbook.com is a go-to site for great Christian gifts.
Bible-themed games abound at Family Christian Stores.
TheToyHunt.com has a religious toys page with Christian games, toys, and action figures in the form of Jesus, Moses, and Pope Innocent III.
We love Novanatural.com and wish to own just about everything they market. Their products specifically for Christmas are truly gorgeous.
Holytoys.com is a small toy and game site still in development. It currently stocks Bible Trivia and a Veggie Tale nativity scene.
At AllGamesandToys.com, there's a page specifically devoted to Christian board games.
HinduKids.org features a t-shirt that reads "Say it with Pride--I am a Hindu!" and other Hindu gifts.
The successful website Astrolabe has numerous gifts for Muslim childen.
Soundvision.com features Muslim dolls, books, and videos.
OyToys.com is replete with Jewish toys for babies and toddlers.
Jewishtoys.com and Jewishstuff.com feature many creative toys and games for Hanukkah.
ZionJudaica.com features Hanukkah stickers, dreidel crayons, and other fun Hanukkah gifts.
The Jewish Museum Shop features this lovely Hanukkah Card Game and other great gifts.
The Pagan/Wiccan page of About.com ran a helpful article on books for pagan kids (another link offers suggestions for teen gifts) and included numerous links you'll appreciate.