We didn't. We spent enough on the wedding and the honeymoon. We figured that was enough of a gift for each other. One thing I've seen done is people writing letters to each other to read before the wedding.
I am planning to give a small gift to my fiance! I am getting him a musical card that will play a specific song when he opens it (I'm picking a song that's meant to make him laugh), as well as a wallet engraved with a sweet quote.
I figured I was giving him me, and that was enough for one day. When he reached inside his jacket, and pulled out a fancy card, i thought, oh no! But it turned out not to be a gift to me. Inside was a CD of some of our favorite slow and romantic songs to dance to. So we did, at 3:30 in the morning, happy our suite was over the greenhouse/ solarium and not someone trying to sleep. He had a nice idea, something to share.
We are just going to do a card or a nice note. At least I am (sometimes FH says he isn't doing anything then surprises me). We are already spending enough on the wedding day, so we figured we don't really need to get each other any kind of gift. The gift of our love is enough for us!
I purchased smaller meaningful gifts for my fiance. I'm gifting him something that respresents our past (a storybook of all our memories from when we were dating), present (cufflinks for him to wear the day of the wedding), and future (leather passport cover to use in all our future adventures). All in all I think it cost like $150 total - so definitely not a lot, but still meaningful.