Presenting the age-old question: do I have to buy my boss a holiday gift?

I received a gift today from my boss. A nice Yankee Candle wax warmer thingy, and I wasn’t planning to give him anything. I asked around. Some people bring cookies or homemade candies for the entire office, others bring ornaments and still others bring nothing. Last Christmas, I was working at another job, writing for our city's newspaper and while the office was festive during the season, nothing was expected. Now, in my crazy corporate environment, where the Christmas lights I attempted to put up in my cube were discouraged, people give gifts like it's going out of style. What is the proper protocol for gift giving? Do I get my boss a gift just because he got me one? I’ll let you in on a secret — I haven’t started my Christmas shopping yet. I plan to begin and finish on Saturday, so it’s not too late for me to pick out a nice manly candle or something for him. But, do I have to? Will I look like an ungrateful, rude, unsympathetic scrooge if I don’t?