I like the candle idea a lot -- the last baby shower I attended had candles as favors, and I actually use mine and enjoy it. At one shower I attended, they gave everyone a picture frame, which was very nice but could get expensive.
I have to say that ultra baby related favors really creep me out. I think that it's always better to go with something elegant (like a regular old scented candle) that people can actually use. Not everybody is into baby stuff, and while I'm sure they appreciate the fact that it's a baby shower, they might not necessarily want something that screams BABY all over it. Of course, maybe that's just me and my baby phobia...
