You don’t have to give wedding favors. They’re not a mandatory item like the wedding bands.
I like the idea of wedding favors because it’s another way to play with your wedding’s theme. To ensure that your favor isn’t tossed in the trash choose something that can be used right away -- food is great as a snack on the ride home, a CD will likely get listened to in the car or a charitable donation which can’t be used by guests, but will be noted and appreciated.
Another idea is to have a photo booth during cocktails and the photos taken are the favor. Or set up a dessert buffet with bags or pastry boxes for guests to pack up for home.
I wouldn’t spend too much time on your wedding favors. If you can’t think of something you’d like to leave for guests then don’t leave them anything. Better not to force it and spend money on something you’re not really into. You can use those funds towards another detail you’re really excited about.