http://en.wikipedia.org/wiki/Sinterklaas#Sinterklaas
no reference used.
Shoe
Traditionally, in the weeks between his arrival and the 5th of December, before going to bed, children put their shoes next to the chimney of the coal fired stove or fireplace, with a carrot or some hay in it "for Sinterklaas's horse", sing a Sinterklaas song, and will find some candy in their shoes the next day, supposedly thrown down the chimney by a Zwarte Piet or Sinterklaas himself. However, with the advent of central heating children put their shoes near the boiler or even just next to the front door.

Typical Sinterklaas candy is the first letter of the child's name made out of chocolate, chocolate coins, a figurine of Sinterklaas made out of chocolate and wrapped in painted aluminium foil, and coloured marzipan shaped into fruit, an animal or some other object.

Children are told that Black Pete enters the house through the chimney, which also explains his black face and hands, and would leave a bundle of sticks or a small bag with salt in the shoe instead of candy when the child had been bad.

Children are also told that in the worst case they would be put in the gunny sack in which Black Pete carries the presents, and be taken back to Spain, where Sinterklaas is said to spend the rest of the year. This practice however has been condemned by Sinterklaas in his more recent television appearances as something of the past.

(I love wikipedia, saves my fingers from typing it all)