Is it appropriate to buy a "thank you" gift for a PhD supervisor?

After your defense, and final submission to the university; you can give the gift, with a thank you note. Right before your defense is a big no, in my opinion.

This might be a location dependent question, but in NW Europe a bottle of wine is appropriate for such and even lesser events.

Many campus shops offer a standardized wine bottle in a gift wrap with the name of the university printed on it. They are the obvious choice, but there is plenty of room for creativity.

As others have already written, a gift is appropriate only after you are completely done. In my case, that was after the registrar had notified me that my application for degree had been approved by the program office.

I had asked my supervisor a couple of probably unsubtle questions after the defense, and sent (to his home, not to the university) two bottles of wine that would have been hard for him to find and a pretty nice decanter. I also sent three small (very low three figures) checks to the university, one in honor of each committee member, so each should have gotten a letter stating that a gift had been made in his name.

(I'm in the United States.)