I gave my bridesmaids little silver necklaces that would go with their dresses, and boxes of Godiva chocolates. Not too expensive (the necklaces were $15 each, and the small boxes of Godiva were $8 or $10), and a big hit.
My husband gave Best Buy certificates to his groomsmen- also a big hit.
We also only three bridesmaids and three groomsmen so that helped keep costs down. I have no idea how the couples with 8 or more bridesmaids and groomsmen manage!