Here's three games that we've always enjoyed for baby showers:
1. The pacifier game - make everyone a pacifier to hang around their neck. To do this string a lifesaver on a length of ribbon and hot glue a jelly bean into the middle of the lifesaver. Rules are, anyone that says the word "baby" has to surrender their pacifier (and any others they've collected themselves) to the person that busted them. This can be really funny. Whoever has the most pacifiers at the end of the shower gets some little prize.
2. The diaper game - To set up, get a handful of different types of chocolate candy (m&m's, 100 grand, snickers, milky way etc..) and a corresponding number of newborn sized diapers. Number the diapers with a sharpie and then mash one type of candy into each diaper, recording which candy went into which diaper. This is a guessing game. The players have to sniff the diaper and try to figure out which type of candy it is. Whoever guesses the most correctly, wins! This one is pretty humorous, it made my Grandma laugh until tears ran from her eyes at my baby shower for my oldest son.
3. The baby gear game - set out several different types of current baby gear (can be borrowed from friends or relatives). Number each one with a little paper plaque sitting in front of it. This game is similar to a silent auction, but not exactly. Everyone gets a numbered index card and has to guess how much each item costs. Look the prices up on the internet and tell everyone which store you're using the prices from (wal-mart, target, babies r us, etc.) so they can guess a little more confidently. Have a prize ready for whoever gets the most right. Comparing the older ladies' guesses with the younger ladies can be funny since they remember mostly what things used to cost when they had small children.
Most of the prizes we gave out were basically gag gifts that we could make ourselves like an adult sized baby bonnet. Occasionally we would have something like a grown-up "bottle" as a prize (a reasonably priced bottle of champagne).
Best of luck, baby showers are so fun!