We gave out heart-shaped sugar cookies. They were the large (4") size heart. Mom made frosting leaves/roses for each cookie, wrote our names and wedding date on each one in frosting, and tied an organdy ribbon through each one (cut out hole with straw before baking). You can kinda see them in the lower right hand corner (these aren't mine...this is off the Wilton site!)
We then packaged them in white cake boxes. It ended up being pretty economical, as she already had all the frosting supplies since she bakes a lot. Main expense was the cake boxes....got those at a party store. Here's the instructions if anyone is interested:
http://www.wilton.com/recipes/recipesandprojects/misc/sweetheartcookiefavors.cfm
Other favors we've gotten:
CD--nice and personal
bookmark--tucked it in a book and forgot about it
matches--stick 'em in my candle drawer

small frame as place card holder--I love frames!
truffles--YUM!
anything edible--always a hit

candle--well, since it was the unscented little tealight (think bag of 100 at
WalMart) it wasn't very impressive. It was just wrapped in a circle of tulle. Just looked like they didn't put much thought into it. But it was still nice that they gave out favors
And several weddings, now that I think of it, where none were given at all. And until now, I'd never noticed! I'm sure whatever you do will be appreciated by your guests
