I almost always get the worst number or the worst gift in these things. (BTW- we call them Yankee Swaps).
For our neighborhood party, we did gag gifts for a couple of years. One year I bought a huge package of toilet paper from the warehouse club and wrapped it in a giant box. The person that got it (greedy! going for the biggest box!) wasn't pleased but it ended up getting stolen by the guy who was a pediatrician, of all things. He thought it was great.
The next year I bought a gift bag and put in a can of beans, an air freshener, a box of microwave popcorn, and a "Blazing Saddles" DVD. The woman who got it had never seen the movie! The rest of the people had guessed what was coming after the beans and the air freshener. It got a lot of laughs. Again, I thought it was a good gift because it was funny but still quite usable (like the TP).
The party we have at my sister's house is quite problematic because there is such a diverse group- everything from teenage boys to a 75 year old grandma. What can you get for $15 that appeals to most of them? We don't do booze because there are 4-5 kids still under 21. Gift cards are OK as are lottery scratch tickets, but not a lot of fun. Chocolates and nuts seem to do OK. Not everyone drinks coffee (and mugs are boring) and some of us are allergic to nuts, so those aren't great choices.
I agree that candles just don't seem to go over well, even though I like them. Picture frames are usually traded in, as well.