I know what you mean. I spent on my 4 nieces and nephews this year for the holidays as well. No thank you note this year, got one last year though. I just try and think about, do I want to give the gifts. You sound like me in that it might eat away at you a little bit if you were to show favoritism to one over the other. At the end of the day, I am a giving sort, and I like the idea of knowing I got the kids a little something every holiday, at least while they are kids.
To each their own though, the best gifts are love and caring, material things and money come and go. Do what makes your heart feel good!
Oh and by the way, I got a lot of years to go -- But I think once my nieces and nephews are out of high school, the gravy train ends!