The last bridal shower I went to was at the home of someone in the bridal party. It was cold cuts and rolls and deli salads from the grocery store on paper plates, chips, and drinks out of a cooler in the dining room. Dessert was a cupcake-cake in the shape of a bridal gown that someone got from a local bakery. It probably was less expensive than treating everyone to Pizza Hut, and we all ate well and had a wonderful time. There was next to no cleanup because of the paper plates/plastic utensils, and we guests helped with the cleanup anyway.
I don't think anyone going to a shower expects the hosts to break the bank. It's usually thrown by the bridal party, anyway, so it's often kids on limited incomes.