I just threw a baby shower for my sister and new nephew in January and if you're looking to be kind of crafty.. This is what I did. I bought the buttermints at walmart that say "It's a boy!" (they have girl ones too, they're around $2) and then I bought some tulle from the dollar store and some twine. Then I bought bottles of nail polish from the dollar store and walmart in different shades of blue (you could do colors that match the theme of the shower or just boy/girl colors) Then I had some cute little tags made online that said "ahoy! It's a boy!" and then her name and date of the shower (Her them was anchors and whales) and I put them mints and nail polish in the tulle and tied them closed with the twine and attached the tag. They were a big hit as favors! Probably cost me around $50 to do if you buy the $1 nail polishes at the dollar store. I'll try to attach a picture so you can see what it looked like!
For my baby shower, we had cookies made in the shape of cowgirl boots (the theme was country). And everyone got to take one home! They were a huge hit!