Last year, for L's Pokemon birthday party, I made some little custom coloring books for the kids.They were a huge hit. I was going to make some more for the kids for Christmas this year, but came upon an even easier idea.
I found these plastic folders at Dollar Tree. Each one has dividers and 14 pockets. Instead of actually binding a coloring book, I just printed lots of coloring pages in the kids particular areas of interest, and placed them in the pockets of the folder.
(My kids prefer to tear the pages out of their coloring books, so I think they'll actually prefer this unbound version.)
I know this sounds super simple, but kids are constantly hounding me to find and print them some Mario or Pokemon coloring pages. I have a feeling these are going to go over well.
In case your kids just happen to be into the same things as mine, here are links to a couple of the coloring page sources I've used.
Mario Coloring Pages at Cartoon Jr (Look around the site, as there are coloring pages for virtually every other theme. The Hello Kitty picture I used on the cover here came from there also.)
Pokemon Coloring Pages at DLTK
Hello Kitty Coloring Pages at Coloring-Book