I don't like the Amazon wishlist so much, because its only one shop.
Using del.icio.us lets me (and others) check things from all over the
place that I want, making it ripe for present-picking.
http://del.icio.us/emory/wishlist
I find it works pretty well.
Places I like to "shop" at regularly go under "shopping" and things I
want to buy get wishlist'ed. If you want to get fancy, you could
wishlist items from your Amazon (or other vendor) wishlist as a
del.icio.us wishlist item, so you would benefit from the Amazon "I know
this individual's shipping information," magic.