With my first pregnancy my two best friends organised a small surprise baby shower for me - just us and a couple other friends my DH recommended to invite - and we had afternoon cream tea in a little pub.
I hadn't planned to have a baby shower this time round, as it's the second baby, but again my best friends have very kindly started to organise one for me. They've asked me who I want to invite and what sort of thing I want to do.
Just for a bit of background:
Last time I didn't invite (via DH) any of my female relatives as I have a difficult relationship with my DM and she's a bit controlling. She was very excited to be a GM for the first time and unfortunately it meant she made everything about her, which I just didn't want at my baby shower.
This time round she's the complete opposite and doesn't really seem to care about the pregnancy/baby at all - so I think it's probably safe to invite her this time round! 
So this time round I was thinking of suggesting to my friends that it just be the three of us, my DM, MIL and two grandmothers.
The other friends invited last time all now have more children, so their time is pretty full, and the friendship group has widened so I couldn't invite them without inviting the others and really don't want it to turn into a big 'thing'. Just to keep it small with my nearest and dearest - as it were - and go for a bit of tea and cake somewhere local.
If you were a friend invited to a baby shower like that would you think it was odd?