CDs, movies, and games ALL cost MORE in Spain than in the USA at least. But keep in mind that movies bought in Europe won't likely work in your video machine in North America as Europe is on a different coding system. Some, however, (like me) have a multi-region DVD player.

Great shopping gifts might include some products easily & cheaply found in Dia, Maxcoop, or other smaller grocery stores throughout Spain. Some things I always buy include coffee (in the brick), anchovy-stuffed green olives, olive oil, chocolate, mussels/berberechos/other-canned-seafoods, and possibly even saffron.

Foreign foods & snacks are always good gifts because they're so unusual. Good luck!

Saludos, MadridMan