Shopping With Little Ones

After one of the birthday parties we attended this weekend, we decided to stop and walk through a strip mall nearby.  I had never been in the area and was surprised with how many businesses they had out there.  We ended up stopping in Big Lots.  Bug immediately shrieked and stopped us to inform us of something she wanted really bad.  It was a Barbie Musketeer Hot Air Baloon for Barbie.  She begged and pleaded.  Mommy's response: Sorry babe.  You don't need that and we aren't going to buy it. 
Bug: But MOM pleeeeeeease! 
Mommy: No.
Bug: Come on!
Mommy: Maybe you can ask Santa for it.
Bug: Good I am going to!
Mommy: But remember you can only ask Santa for 2 things that you really want.
Bug: But Mommy, I already picked out what I am asking Santa for.
Mommy: And what is that? 
Bug: Barbie Babies and a Unicorn Pillow Pet
Mommy: Is that what you really want? 
Bug: YESSSsssssss~ 
Mommy: Then you don't need to ask for the Hot Air Balloon. 
Bug: I could always ask him for three things or more.
Mommy: But what if Santa decides not to get you the thing that you REALLY wanted.
Bug: Uhhhhhhh fine.  I don't want the Balloon. 

Now that you know the conversation, I have a question for all of you.  If your child wants something in an extreme way, and it is something you just don't think is a wise choice, what do you do?  A while back my sister came across a Groupon special for Pillow Pets.  They are normally about $20 each.  She had a Groupon special that made them under $5.  I immediately thought they were absolutely stupid.  So I declined the need to get my kids that.  $20 for a pillow that I was sure wouldn't be fully loved? 

Lo and behold, recently Bug has been so adament about her need for a Unicorn Pillow Pet.  She wants it so badly.  I told her she could ask Santa for Christmas.  Personally, I don't think Santa should bring it to her for Christmas.  What do you guys think?  What would you do?  Just give in and let Santa deliver this? She has pillows on her bed.  There is nothing wrong with them and they are really comfy.  Not that Santa doesn't bring something a child doesn't absolutely need.  I am just curious how other people do Christmas with their kids.  Come on ladies, spill the beans.