Hi
I personally think party favors are a waste of money and that most of the junk is thrown out when we get home or not safe for the kid it was given to. That being said, sounds like you want to do it. Please give em something safe and useable. I suggest 2 sets-Under 3, older than 3. The older than 3 kids would love a tattoo (Walgreens, dollar tree), all natural lollipop (whole foods, not that expensive), fruit leather (costco is cheap), chapstick, or small bouncy ball. The under 3 set would like a big shiny sticker, a small board book, a small stuffed animal, mini box of raisins. Actually, I think my one year old's favorite favor was the balloon he left the party with. Maybe just have em all take a balloon? My older son liked the paper hat he left a party with -he's 3.
I will tell you from experience that I throw out candy my kids get. I'm mean like that and my son reacts badly to artificial colors.
Chalk, crayons, coloring books, bubbles and small plastic toys seem to be popular by how often they are in the favor bag, but honestly most kids have them at their own house and they don't really get used or appreciated.
I like the light up sword idea below and the frame with instant picture idea- then the actual fun of the party would live on in using the sword or remembering by looking at the picture. Good ideas.