Kind of just let it sit in the closet. I don't like to throw stuff away that people get me, one because I might feel bad and two, what if they ask about it and ask to see it? Haha, what are you going to do?
o-- Rot in the closet.
o-- Give them to other family members after a period of time. I try to ask them NOT to tell the person who gave it to me anything about it.
o-- Donate to charity if I can. If it's worthy.
The thing that sucks, though, is if the person who gave you the gift has hurt feelings over you not using your gift. I know some people like that and I hate when I have to explain why I don't use their gift. It's tough telling those people that I just don't need/want it.