The short answer is no, there is no absolute rule that you have to give your guests favors.  But, there is a “but” with this answer.

Just because you don’t have to give favors doesn’t mean you can or should skip them. Even if you only spend a couple of dollars per person, a favor, even a small one, is a nice gesture that says “thank you” to your guests for coming.

Think about it, your guests gave us a day or at least an afternoon to come to the party, they bought a gift that was more than just a few dollars and some guests may have even had to travel, make child-care arrangements or take off work to celebrate with you.  The least you can do, in addition to a hand written thank you card afterwards, is to provide them with a little gift that they can take with them when they leave.

While specific ideas are a topic for another day, I encourage you to get creative with your favors.  Bake cookies or cupcakes and then add little labels, tags or stickers to them with something that ties into the shower theme.  

Add coffee beans or pop corn to little jars (like these, or these) or in food safe bags (I love these)  and add a label or tag that says “a baby is brewing” or “she’s ready to pop”.  

Any small gesture will be appreciated by your guests and make them feel good about attending.