That's just rude to do it while everyone's unwrapping gifts. It would be nice to mention this thing ahead of time when sending out Christmas cards, for ex: "We are sorry that we are unable to buy gifts this Christmas due to our financial situation" and just bring some cookies for everyone instead. Dropping the proverbial bomb on someone on Christmas Day is unacceptable.
Now, I understand if you can't afford to buy Christmas gifts for me; I have no problem with that considering that I can't afford to do the same thing during these trying, financial times. However, let me know BEFORE Christmas. Kthx.