"The Gift of the Magi" is so compelling because the ending is so unexpected. The main characters live in poverty and go to great lengths to try to do something kind for each other at Christmas. This has a familiar feeling; as readers, we immediately begin to root for these characters because of their good intentions.
Della's sacrifice is great. She realizes that her hair is "more beautiful than any queen's jewels and gifts." Jim is equally fortunate to own a valuable watch even in the midst of poverty, knowing that "no king had anything so valuable."
This couple desperately wants to make the holiday special, which is a feeling that almost all readers can empathize with: wanting desperately to afford a nice gift that is outside of the budget. Readers want (and expect) that this great sacrifice will end well for at least one of them.
The story is thus interesting because it is a reminder that gifts alone do not convey love to the people closest to us. At the end of the story, Della owns combs but has no hair to put them in; her husband has a gold watch chain but no watch to put it on. They each have the greatest and most noble of intentions, but those efforts fall shockingly short of bringing joy to their spouse.
Though the sacrifices they make show a great love, in the end, their efforts leave them with foolish trinkets that they cannot even use. This unexpected ending captivates us because we are reminded that gifts are not the true way to convey love.