Hi S.,
We've used a number of creative things for our kids goody bag. For the pirate theme I took black felt and sewed loot bags with gold cord for drawstrings. Then I glued white felt skull and crossbones on the front. The kids found a treasure chest during the party and stuffed these bags with the jewelry and other stuff from that.
For the Star Wars party we used the plastic canisters from Lays stacked chips (like Pringles) and made new Star Wars based labels for the outside. We put stickers and characters in these for the kids.
For the Willy Wonka party the "bag" was a plastic black top hat that got filled with candy, a toothbrush and toothpaste.
My daughter will be 5 in May and her theme is Puppies. (We got a dog in the fall who's birthday is the day after hers so it's very cute that she wants this theme.) I bought small stainless steel dog bowls at the dollar bin in Target that the kids will decorate, eat out of and take home. We're going to make dog collars and they'll each get to adopt a small puppy stuffy. Some doggie snacks and a bone shaped cookie may round out the stuff for the doggie bag.
This website has great party ideas including invite, games and goodie bag ideas.
www.birthdaypartyideas.com
Also orientaltrading.com has inexpensive toys and party bag fillers in lots of themes.
Have fun!