This afternoon I hosted my second baby shower--and on a budget (though I admit it was easier this time because it was very small and my sister-in-law helped). The theme was baby Winnie-the-Pooh. I got a banner and balloons on clearance at Party City. I found a baby shower bingo game at the thrift store and a free printable online for a memory game, and we used the back side for a drawing game.
I also made a Winnie-the-Pooh diaper cake. It's a lot easier than it looks! Just tedious. I bought a gift set at Walmart, took out the diapers for the diaper cake, and used the rest of the contents plus some more goodies for the memory game (you show the guests everything in the box/bag, they have to write down everything in it from memory, and the mother-to-be gets to keep it all).
The favors were large baby jars filled with gummy bears. The Pooh die cuts on them and the diaper cake my sister-in-law made with the baby Pooh Cricut cartridge I got really cheap on ebay.
All in all a very easy and inexpensive baby shower! For more ideas, read about the first baby shower I hosted on a budget.