there are a very few social circles in which the shower is not really so much a separate event as it is a "preview" to the wedding for the women who were invited (guest list includes all women invited to the wedding) , and the wedding gift is given at the shower.
For the vast majority of people, the shower guest list is much smaller (and is really supposed to be pretty intimate--the people that you can genuinely say would like to give the bride two presents). And the shower gift is separate from the wedding gift. it is also almost always less expensive.
So I would say, yes, you should give a wedding gift.
However, all gifts should be affordable by the giver. So since you're spending a lot right now, give a less expensive gift.
Offset the lack of "oomph" in price by providing "oomph" in caring and thoughtfulness. Write a letter that tells something touching, or choose something you know they'll really love and cherish. Or, maybe that they'll find funny (the story will live forever, is the idea), or that speaks to the specific relationship just between you guys (i.e., not generic).
Other peole have great ideas for sentimental, meaningful gifts (recipes; photos from your childhood that are scanned and put on a thumb drive to be transferred to a digital frame).
But I wouldn't say you should give nothing; that might hurt their feelings, to be so disregarded. Even if they're not gimme-pigs, they're probably looking forward to receiving the love that presents represent.
Me, I love to send gifts to represent me at a shower, and as the sister of the groom, I'd absolutely make sure to send a gift! If I were a cousin, I might pass on the gift for a shower I can't attend, but a sister? Gift in the mail, by gum! and that would have been my advice to you, if you'd happened to ask me. (basically, mandycorn explained it better than I did)