Five sugared almonds are the traditional favour, wrapped in a square of tissue to coordinate with your colour scheme, and are quite inexpensive.  You could go for a fun idea such as a packet of love hearts or even smarties.  A lottery ticket in a little envelope which would double as a place name is another possibility or a 'lucky' sixpence stuck to the name card (buy them up off ebay). A (nearly) free idea would be to get make paperweights by finding some large, smooth pebbles and writing people's names on them in silver or gold pen,  then paint them over with clear varnish.  Again this could replace a name card.  Another alternative could be to make gingerbread men (or gingerbread bride and groom, or just cookies) and ice them with names or patterns and decorate them with dragees (little silver balls)  www.deliaonline.com has a gingerbread man recipe.

If you want to use little gauzy bags for your favours www.weddingbitz.com have some that are not too expensive.

Remember that, having gone to so  much trouble and expense, half the drunken guests will go off leaving their favours on the table at the end of the evening!