I don't like to include lots of lollies as both my kids are young, so I prefer a few bits and pieces that are exciting and age appropriate.
For Miss E's birthday party last year, we made bags with bubble sticks, a balloon (not blown up), party blower, chocolate frog, stickers and hair clips. For the boys, crayons & a small notepad, balloon, bubble stick and a Freddo. For the toddlers a bath squirty toy (we got a mixed pack from a discount store) and a mini board book.
Danni made these awesome owl treat bags which would be hootalicious for an owl or forest party:
Oh and Miss N had a princess and knights party last year with the most awesome ideas for party bag treats: http://honeyyoubaked.com/2011/09/14/preparations-for-a-princess-party/