Other than holiday gift or his birthday (which have been group gifts from his other students), there have been two occasions where my pro/coach went out of his way/above and beyond for me, my dancing, and my emotional well-being. In return, I got him two small tokens of my esteem in appreciation of his going out of his way. Both were under $20 and were gifts to use with his wife, such as tickets to a movie he wanted to see. That's been the extent of my gift-giving.
Thoughtfulness and sentimentality go a long way. When you're stuck for a gift idea, the best thing to do is write them a really thoughtful card or letter.. Gift cards for foot massages never hurt either.