This is a topic that many wedding industry experts will have differing opinions on but in my eyes, I do not think it is a necessity to have wedding favors. With that being said, there are many "activities" you could have on the day of the wedding that will act as a favor for your guests. If individual favors are not given, I do believe there should be something else there to represent your favor!
To start off, I always recommend a favor that can be used by your guests! Yes, cute little figurines may go with your theme and that is fine if you have the money in your budget to spend on them! They will surely add character to the wedding. But personally, I like when you can actually use the favor...and the most typical favor that will do that is food!!
We did a s'more bar as our wedding favor! We had individual boxes at each place setting that said "Sending S'More Love - June 1, 2013" - And inside were graham crackers, Hershey's, and marshmallows! Not only did this give each guest an individual favor, but added just a touch of color to our room to make it pop! We then had a s'more bar with burners and wooden sticks for guests to make their s'mores toward the end of the night!
This is just one idea that went along with our personalities and was a fun addition for our guests! Another popular idea is to have a candy buffet! You can include candy that matches your wedding colors, or just candy that the two of you love! Individual bags for guests to create their own candy favors allow them to have something to take home or eat that night...and it is especially fun for the kids :)
And the third favor that I always love is a photo booth! And the takeaway are the photo strips that guests are able to take home with them as a memory. This can also act as a duplicate for a guest book - just have guests glue a duplicate photo strip into your scrapbook and sign next to their photos!
All in all, I do think there should be something there to show your thanks for having guests be there to celebrate with you but it does not necessarily have to be an individual gift. Do something that represents the two of you and gives some fun and personality to your wedding day!