Dear Abby would tell you the answer is yes, typically the bridesmaids are expected to give a gift to the couple. The unwritten rule on wedding gifts is that they are suppose to be a similar amount to what the couple are spending for your dinner (and your date's dinner) at the wedding.
I've found that being a bridesmaid costs in the neighborhood of $700-$1000 when it is all said and done! After you figure in the dress, shoes, makeup, hair, nails, wedding shower gifts, bachelorette parties, traveling to these showers/parties, traveling to the wedding, hotel, meals the weekends of the wedding, drinks at the wedding, etc, etc, etc. It is an expensive "honor" your friend gives you!
Some money saving gift ideas would be to go in on a gift with another bridesmaid or another mutual friend the two of you have. If you are crafty you can always make gifts - hand tied rugs, crocheted dish rags, quilts, etc.