I moved to America a few years ago and lovely friends threw me a baby shower for DS 2 years ago.
We had a registry (at babies R us) for a few bottles, swaddle blankets, that sort of thing. Nothing much over a tenner, but it was lovely to be given things we'd chosen and already wanted as (1) we were pretty broke and (2) I could then enjoy the last month of my pregnancy coo-ing over the white babygros with duckies and frogs on ('unisex' is often so much cuter!).
The loveliest things my friends did was pick out some of their very favourite bedtime stories from when they were little, and give them to us, writing notes wishing our baby a lovely time enjoying stories with Mum and Dad (we're book lovers). It was specially touching because our friends here are American, Canadian, and Swedish and so we now we often pull down a book from the shelf that wasn't a part of our childhood, but DS absolutely loves - and I always think fondly of our friends when we read 'their' books.
Erm. One of my favourite presents that lasted longer than most 'clothes for new babies' that you get (i.e. 4 months if your baby is a whopper like mine was!) was some posh Arden and Anais swaddle blankets. We used them for swaddles, as muslins, to cover the pushchair while he slept, as blankets in the heat - we used them ALL the time, they were great and make a smashing present.
Mainly, though, it's not about the present, it's about enjoying a few treats and feeling loved and supported and that all your friends want to celebrate your new baby with you. I know people call them grabby and american and tacky and whatever, but mine was felt like a wonderful party, and I'm now a big fan! :)