A girlfriend.

Seriously.

I really already have all the things I want. I'm not really a very materialistic guy. I don't need a fancy sports car, or a big house,  or a big flat screen TV, or a smart-phone, or an iPad (none of which I have or have the slightest desire for). I have an enormous library of books and comics that is being added to all the time regularly. I have a great cat for a pet. I'm in pretty good health. I have a job that I may not love but at least I don't hate.

All that is is missing from my life is a little companionship.

Humorous answer: "Dear Santa: What I want for Christmas will not fit in a stocking. It will, however, fit in two."