The wise men come to visit Jesus, and they are bringing gifts – gold, frankincense, and myrrh. Jesus is king (gold), priest (incense) and sacrificial lamb (myrrh, used for embalming). Jesus is a prophet, and more.
What strikes me most, though, is that these wise men worshiped Jesus. They were not Israelites, so we could say they did not understand the idea of the One true God. Yet their worship shows they actually understand something about Jesus, who at this point is anywhere from 6-24 months old. Jesus is God in the flesh, and He deserves to be worshiped. Throughout the Gospel, Jesus is constantly worshiped, and He does not stop people from worshiping Him – because it is right that we worship Him. This is not Jesus being arrogant like rock or movie stars today – every good Jewish person knew that a human could NOT be worshiped. Jesus accepted the worship because He is God.
The gift we give to Him is understanding who He is, and living lives of worship to Him. The gift He gives to us is Himself – to die for us, to follow, and to find real life.