For the Lego fanatics in your life, Lego.com has a great running "Sales & Deals" section on their website.
You can find Lego sets and other fun Lego items, such as the above Female Minifigure Magnet set, at deep discounts. That set retails for $14.99, but is on sale for $3.48.
I have noticed that the bigger Lego sets sell out quickly, so it's a good idea to check back often.
You can often find Lego keychains, like this Toy Story Alien, half price at, $2.48. I bought these for my son's Lego party last year to use as party favors. They ended up being cheaper (and healthier) than your typical birthday party goody bag fare.