My sister wasn't interested in the pastel mints that were the usual favors in our area at the time of her wedding, so she wasn't going to have any at all. A week or two before the wedding, she realized that pastel mints weren't the only option. Smarties (the Canadian kind, which are basically m&m's without the m's printed on them) were significant to her and her fiance, so we bought Smarties in bulk. We also bought tissue and curling ribbon in wedding colors, and bought a sleeve of creamer containers from the local dairy. Fill the creamer container with Smarties, cover the open mouth with a square of tissue paper, and tie the corners together behind the base. Voila! a little "wedding bell" with tasty candies.
I don't know if my younger sister ever gave a thought to omitting favors at all. She had a small wedding, though, so she folded origami swans (which her husband carefully personalized with their names and the date), and tucked an individually-wrapped slice of Terry's Chocolate Orange into each wing. The wedding photo collection includes a series of pics of my uncle carefully unfolding the swan to see how it was constructed.
At my wedding, we gave out fridge magnets with our picture and contact information on it (address, email addresses, and phone number), and a small packet of pansy seed. We had pansies as a part of our centerpieces. We still have lots of pansy seed (that will have a poor germination rate by now, poor things) and a lot of fridge magnets left over, but I did notice that friends who married six months after us also gave personalized fridge magnets as favors.
All that being said, I find that favors are mostly useless and awkward, because it's hard to come up with something that is to everyone's taste. Consumables are the exception.