My sister-in-law is also pregnant with her first, and though I'm SO not the domestic type, a friend of mine showed me some knitting patterns and I'm making them a baby blanket. I was really apprehensive at first, but after I got going, it's really easy, and something you can do while watching TV, waiting for the clothes to dry, etc.
The blanket I'm making is very easy, with only two different kinds of stitches needed, and my friend gave me a book with tons of baby ideas (from knitting blankets, to teddy bears, floor/nursing pillows, mommy sweaters, etc). and they're all for beginners (and look fantastic!). Even if you're like me, and you don't have a knack for the creative aspects, it's SO fun, and something you can really pour your love into. I showed my SIL the beginning of the blankie and she loved it. :) So if *I* can do it, anyone can! :)
Another idea would be to take some of their ultrasound pictures and make the beginnings of a baby book. There are soooo many scrapbooking places out there, it would be easy to find just the type of decorations you want to start their baby book. You can include a letter from you to Baby, or some background on Mom and Dad for him/her. Throw in some family photos before Baby is born, and the ones right after he/she is born, and it's a great memorabilia item. :)
You could also go to a place like Barnes and Noble and get a nice leather-bound book and start a journal for your sister-in-law so she can document her time while pregnant, and the days/years after Baby is born so she has something to look back on. My eldest cousin (whom I'm very close to) did this for me on my 16th birthday, and I write in it still.
Other things my family has done is sew quilts/layette sets, compile family recipes into a busy-mom's cookbook, made scrapbooks, reserved plots in public parks and named them after our children/family members, etc. A friend of mine even had a new star named after my son with his birthdate (it's in the Swedish National Star Registry, if you're interested, I'll get you the info for it).
Congrats on your first, and congrats to being an Auntie! I hope you both have a wonderful delivery. :)