I just remembered a fun favor i did for a friend's shower a few years back.
I didn't have a big budget to work with for favors, so what I did was compile a list of songs that were all about being a parent or had the word 'baby' or 'child' in the title. It ranged from 'ooh child' by nina simone to 'arms wide open' by creed. Crazy mix, but it was a lot of fun and something appealed to everyone. We actually listened to it during the shower too, which was fun.
You can get cds in bulk very inexpensively, and then I had a friend design a cover in photoshop and had kinkos print them up. I think the total cost was just a few dollars per favor, and everyone loved it!
Re: fun shower favor idea
Don't you have to pay to download the songs? I know people that do this for wedding invites have to. We just did cookies (baby bottles with baby's name). They were done at the bakery and delish...everyone loved them.