Food is good! For my shower, my friends donated to March of Dimes instead of favors and then put a little note in a frame on the food table about it. No one missed favors and I really liked it too.
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Re: Baby Shower favors
For my SIL's shower we got honey buns and put a personalized sticker on the wrapper that said "bun in the oven" with a small bow.
anything edible is always good, lotto scratch offs are a good idea too!
Wockenfuss makes really pretty chocolate covered Oreos that make pretty favors.
Food is always good! Individually wrapped cookies, cupcakes, etc go over well. Cake pops would be cute too!