The ideas so far are great!!!
Here are a couple of things we did at the NICU I worked at in Georgia:
Each holiday we would get enough t-shirts for all the babies and use fabric paint or iron-on prints to signify the holiday. On the morning of the holiday we would put them on the babies in time for their parents to see them when they came to visit. If the baby wasn't able to wear his/hers we simply placed it in the bed with the baby or taped it onto the radiant heat warmer bed. Parents enjoyed them and would often take them home to show friends and relatives. Many said they would keep them as keepsakes.
One nurse had a husband who looked like Santa, beard and belly and all! He would come up there on Christmas Eve and we'd let him hold each "holdable" baby while we took a Polaroid photo of them. If he couldn't hold the baby, he'd stand beside their bed for the photo. The photo would be presented to the parents on their Christmas Day visit (or later if they didn't make it on Christmas). We'd tape the photo to the baby's bed so the parents could see it as they arrived. It was always a treat for us to see their faces. We did, however, have to find out first if the parents were accepting of the Santa tradition. We had a few parents who's religion didn't condone Santa (Jehovas Witnesses I believe were one...) so we wouldn't offend them.
Our Red Cross Volunteers, who supplied our unit with baby hats and angel gowns, would make up a special batch of red crocheted hats with white pom-poms for the babies to have on Christmas day too.
I guess most all NICUs save the first gradufeed bottle the baby fed from or the first milk syringe and tied it with a pink or blue ribbon and use a sharpie marker to record the name and date of first feeding. Our parents love these little "growth markers" as they enjoy seeing any progress their baby makes.
When we renovated our NICU, our new ceiling was lower and had special sound-reduction panels placed in it. The panels were designed with different sized star shapes carved into them. When a baby would be discharged, we would paint in one star with gold-yellow paint and show it to the parents on their next visit. We tried to paint a star near where the baby's bed was last placed.
If I can think of any more, I'll share...