Funny & Unique- The Business of Software 2009 conference gave out a Slanket. Hilarious (at least, I think it was intended to be...).
Different & Professional - My company did a custom printing of O'Reilly's Mind Hacks book. It's basically the standard book, but with our company logo on the cover and a couple other places. Pretty classy (and definitely longer lived than your typical plastic swag... sorry Slanket!). If you can find a book that really speaks to your target audience (and a flexible enough publisher), this can work really well.
Dangerous (in a good way) - We found the foam finger rockets to be wildly fun (and dangerous)... below is an example (not our's), if you haven't seen one. They do tend to stay 'around' for a while... at least until they are confiscated. I still remember our team getting some really dirty looks from adjacent booths when they were 'accidentally' bombarded with these.
A company called Zygo during the dot com boom in 2000 brought us thick multi-colored professionally made books that were completely blank. It was so characteristic of the wasteful money being spent at that time that I saved it and still show it to people. I recently spoke to someone from that company and they told me they went through 40mil in VC money and never brought in a dime of revenue.
I remember getting a hockey puck from Sun, one time. That was memorable, as it was my first, and only time, playing broom hockey.
It was also different, so it stood out, and I still have it. :)
I remember back in Comdex days (land o' swag!) a company named edsun labs that had a battery powered fluorescent light pin of their logo (a lower case e). They were a nominee at an industry event, and when their name was announced, they all put on their glowing e pins. After the event, they started handing them out, and every industry party / event you went to you saw one of these "e"s .
The company has since been merged with analog devices, so I haven't found a pic of the pin.