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If you want to do wedding favors, I think just about the cheapest kind you can do is a small amount of candy in a small cello bag. Cello bags are cheap -- like the ones here: Cellophane Favor Bags -...

How about these cute tootsie roll organza bags in brown -- they're not too expensive and cute as can be:
http://www.sophiesfavors.com/boxes_tootsierollorganzabags_brown_sub.jpg
From:...

There are some very nice western them party favors at this website:
western wedding theme, western party decorations, western party themes

Yes, there are lots of very nice gift ideas at this web site:
DELUXE FAVORS - Unique Party Favor Ideas