I did not have a shower for several reasons, the most important being religious reasons. My SIL did not want a shower for the same reason and instead, she had a lovely gathering of women, children and loved ones that focused on love and spirituality. Everybody brought something they found in nature or a poem or verse that reminded them of new life, joy and the power of living simply. After some snacks and relaxing, they went around the room and explained what they brought, adding stories of parenting or childhood. I know it sounds really "earth mama" but it really was a wonderful, memorable time.
Also, Mothering magazine had an article about the "anti-shower" a issues ago (can't remember exactly when) but they might have it in their archives online. That had some alternative ideas as well.
Good luck planning!
T.
Ps For those who don't know, people of the Jewish faith do not have baby showers. Also, I believe Jehovah's Witnesses do not exchange gifts.