How do you do this frugally? Well, the main two things you need are photo prints and frames.
Step 1. For a great deal on photo prints, I almost always use snapfish.com. I have gotten 4x6 prints here for as little as $0.01 each, or about $0.03 each with shipping. THAT IS SO CHEAP! We're talking 100 prints for as little as $3.00. Their regular price per 4x6 is $0.09 but I have found they are almost always offering some kind of special. I have signed up on their site, so they send me deals and coupons all the time. You can also get coupon codes from retailmenot.com . (Also if you do any other shopping online, you should really check there to see if there is a coupon available before you buy.)
Or, if you'd rather get your prints in-person somewhere, Walgreens does 4x6 photos for $0.19 each. (Not nearly so frugal... but still an inexpensive gift.)
Step 2. So now you've got your prints, and you need inexpensive frames. You could go to Michael's or Target or somewhere, and buy cheap $5.00 frames. However, these frames will look like cheap $5.00 frames. My tactic is to buy used high quality frames for cheap at a local Lawrence thrift store. I don't believe I've ever paid more than $1.00 for a frame, and often much less. Also check for frames at rummage sales and the like- I frequently find brand-new frames at garage sales for $0.50. Sometimes used frames are perfect just the way they are, but sometimes they have chipped finish, or are generally banged-up. So long as the glass is not damaged, and the frame is still structurally sound, it is easy to fix up an old frame. Just take out the glass and spray-paint it! (That link goes to a really great tutorial, if you need guidance.) I usually go with classic black or gold when I paint them, but you can go wild and do any kind of crazy color you want.
Bonus Step. If you really want to get fancy, you could use a mat. Getting mats cut at a frame-shop or craft store is pretty expensive, so I would not recommend that. The best solutions I've found for mats (besides cutting my own mats... I'm not quite there yet) is to buy pre-cut mats in bulk online, or to do what I call a "modern mat" (best for smaller pictures/frames) and use a solid piece of matting or paper and tape the photo on top of it. The example I've included is a picture of my grandma and her dog, in a frame I bought at a thrift store and painted, and did a "modern mat" on light blue paper that I had in my paper scraps.