I would say if your boyfriend told you not to get him anything for Christmas, you should buy something simple. You may buy him a watch, a movie he likes or take him out for fun. But this usually varies with his preferences you should see what he likes and what you can afford and try fuse the two.
You don't even have to buy him a gift. If he doesn't want anything such as a material gift, take him to his favorite restaurant. If that's something you don't want to do, act out one of his fantasies. A "sexy" surprise is something he will remember and appreciate for years to come.