If it's your first holiday season with the company, be sure you ask around or read the company handbook to determine their specific gift-giving and/or party etiquette.
If there are existing guidelines or traditions, follow them. If there aren't, use common sense and constraint. You don't want to be that person whose inappropriateness is whispered about for holiday seasons to come.
In the absence of any set rules or customs, non-denominational season's greeting cards with a personal message expressing appreciation to the recipient are always suitable, but definitely not required.