I personally don't like the engraved shot glasses/candle holders, etc. I am one of those people who always takes them home, but yeah they just get put in my "stuff to keep" box. I think unless you know your guests are going to like what you buy - say if your friends are drinkers then stubby holders are great, for instance - then you should either go with something edible, or go with whatever YOU want but just be prepared for it to be a slight waste of money.
I'm in the latter category. We're doing a birds theme for our wedding and so I'm going to get these for our guests... they don't cost that much and they fit the theme... however I'm getting them because I want them and I'm prepared for not everyone at the wedding to take theirs home with them... if that happens I'll just pop the extras on ebay.