R.P.
For my husband's first Father's Day, I made him a book. I bought a blank hardcover book from the learning store and made up a poem about what a great father he is. I included lines about what he liked to do with our son and printed pictures and pasted them to the pages. I know you can make books through many of the photo websites like Snapfish, Flicker, etc. but I found this to be much more personal. His book started with this sentence, "My daddy is my hero(one page with daddy and son), he always makes me laugh(picture of son laughing), I love it when he reads to me(picture of them reading together) and holds me in his lap(another picture of daddy and son)."
One year we made him a t-shirt that said, "Daddy's Little All star" and had my son's hand prints painted on a basketball.
Last year we made daddy a stepping stone with the kids hand prints from a kit we bought at Michael's. It was a little harder to get the younger one's hand print, but if you were to do something like this, do it when the baby is sleeping.
This year my husband actually asked for something and that was to get our tv fixed. I think we will still make him something, it makes it just a little bit more special.
Have fun and congratulations on your new arrival!