The main point of the story "The Gift of the Magi" is the heart behind each of the gifts. Della's hair is one of the things she is most proud of, but in order to demonstrate love for her husband by giving him a good gift, she sacrifices her hair. This represents the true heart behind gift-giving: it is more important to give sacrificially than to give a useful gift. This love that transcends the love of material objects, such as hair and watches, is the mark of a true gift-giver.
By the end of the story, it is revealed that both Della and Jim have given up their most prized possessions to give each other thoughtful gifts. In doing so, they have rendered the actual gifts useless. Della cannot use the combs that Jim bought her, because she has sold her hair, and Jim cannot use the watch chain, because he has sold the watch for Della's combs.
Della's hair is significant because it is the sacrifice she makes for her love of Jim.