"The Gift of the Magi" by O. Henry has three distinct Biblical allusions -- the magi, King Solomon, and the Queen of Sheba.
The magi were three men that traveled from far away lands in order to give gifts to the newly born Christ child. Depending on who you ask, the magi range from being simple wise men, to being kings. Regardless, all accounts agree that the three men gave expensive gifts to Jesus (gold, frankincense, and myrrh). Of the three Biblical allusions in the story, the magi is the most overt. It's in the title of the story, and O. Henry explicitly tells his readers about them in the final paragraph.
The magi, as you know, were wise men—wonderfully wise men— who brought gifts to the newborn Christ-child. They were the first to give Christmas gifts. Being wise, their gifts were doubtless wise ones.
The allusions to the Queen of Sheba and Solomon are much more veiled. What O. Henry does though, by hinting at Solomon and the Queen of Sheba, is pick two people who were historically crazy rich. From I Kings 10:
And when the Queen of Sheba heard of the fame of Solomon concerning the name of the LORD, she came to prove him with hard questions. And she came to Jerusalem with a very great train, with camels that bore spices, and very much gold, and precious stones:
O. Henry hints at the Queen of Sheba when he says that Della's hair was more beautiful and valuable than "any queen’s jewels and gifts."
As for King Solomon, the Bible describes him this way:
King Solomon was greater in riches and wisdom than all the other kings of the earth.
O. Henry tells his readers that no king has ever had anything as valuable as Jim's watch. That king could only be King Solomon.
So despite the fact that Jim and Della are dirt poor, they own things more valuable than any king or queen ever has, and they willingly give those things up in order to give gifts to each other. That's some deep love.