I've done two separate things that were both well received. For my sister's shower, I bought several little wallet-sized photo frames in different mismatching styles (about $1-2 each). I removed the staged-photo insert and replaced it with each guest's name printed on a different color of paper. Then we used the frames as place settings for a luncheon. Each guest took their frames home and most used them for the photo from the forthcoming baby announcement. We only had about 20 guests, so this was affordable. If you're splitting the cost with others, it could be doable for you, too.
For my sister-in-law's shower I did some flavored tea bags (I used individually wrapped bags of Vanilla Caramel by Bigelow, but you might prefer decaf so Mommy could enjoy, too). I placed each teabag in a homemade wrapper of heavyweight embossed vellum. I tried to make the vellum wrapper sort of like the cardboard of a matchbook and held it shut with a pretty ribbon tied around in a bow. Then I made a tag to attach to the ribbon by printing out a clipart photo of a baby and matting it on scrapbook paper. Under the baby face, I typed:
A Baby Is Brewing!
Jess's Baby Shower
[the date]
This was for a pretty large crowd, so I needed an inexpensive idea. The gift was really my time in making something unique, more than the actual "goodie," I guess. They cost well under $1 apiece. For something so inexpensive, it was really well received. There were also plenty of prizes for the games we played, so I don't think anyone left without something "substantial" to take home with them.
If you are one of the hostesses, something special you could make for the Mommy-to-be would be a diaper cake. If you've never seen one, let me know and I'll send you some pics/directions. Warning: THIS project is NOT cheap, but it's one of the most appreciated shower gifts I've ever given.
Good luck & have a blast!
J.