Expensive is definitely not better. Especially if it's a relatively new relationship, or she knows that it's outside your budget - she'll feel guilty. Look for something not useful that either really suits her or is really cute.
For me, little figurines are awesome. Especially the glass ones with just hints of color around the edges. I've also found these little dragon figurines that are good - they're just cute little dragons and you can get them in all kinds of 'themes'. I was given one that is sitting on a pile of books. My mom loves funny hats, so I gave her one with a big silly hat.
I know for me it would be more the thought that counts. If he did something that I know took some effort and thought/time I would be impressed and find it very romantic b/c it shows he cares. I find something like jewelery over-rated, but then again, I am different.
Nothing materialistic! I personally hate chocolate, so that would be out of the question. A romantic sensual massage with massage oil and maybe some fruit like strawberries and maybe some rose peddles on the bed. A little pampering can go a long way and can be beneficial to both who are involved if ya know what I mean.