Now I feel kind of guilty. At my daughter's most recent birthday, she had a dinosaur theme, so the goody bags had tiny stuffed dinosaurs (and I mean *tiny*) and little 12-piece dinosaur puzzles, plus the candy they got from the pinata. I guess all those poor little stuffed dinosaurs got tossed afterwards. They were so cute, though.
I think the biggest hits that we managed for goody bags were last year, for her Dora party. There were bubbles and these little kits that either let you bead a necklace or make a mosaic. The kids went on a "Dora adventure" (with a map they had to follow) to find the treasure chest, and it contained all the goody bags. So the kids got and opened them during the party. There were bubbles being blown all over the house and kids chasing them around and stuff, then they all sat down to do the necklaces/mosaics and some coloring pages I'd printed. I'll have to remember in the future that goody bags with activities are fun, especially if they get them with some time to play with them at the party.