some things that have gone over well at baby showers attended by DH's extended family (MIL has 5 sisters and they're in their 70's and 80's)
-baby bingo - make bingo cards with little pics of baby items in them (bottle, crib, teddy bear, etc.)
-baby pictionary - divide into two teams, have a bunch of baby-theme words on index cards or small pieces of paper, pick one at random and someone from each team has to draw a picture to help their team guess the word (can also have the teams make the item out of play dough instead of drawing it)
PS: If your cousin and her partner haven't already checked out their local parents of multiples club, encourage them to go to http://www.NOMOTC.org to find the nearest club. It's a great resource for information (e.g. which local OB's and pediatricians are 'twin-friendly'), gently-used secondhand gear at great prices (Twins by theBay, the club that covers the Oakland/Berkeley/Alameda area even has 'loaner' equipment that members can borrow for free), and a chance to meet up with other parents of multiples - both the "been there/done that" ones who are happy to share helpful hints and encouragement, and the fellow nervous/expectant parents with whom it's great to share the challenges and joys of parenting multiples.