I've never heard of guys throwing a baby shower. For some reason, it's still one of those chick things.
That said, my wife had a shower at work, which had a mixed m/f crowd--mostly scientists, they gave us all kinds of utilitarian stuff that we thought amusingly odd at the time (A Costco case of Pampers? Who'll ever need that many?) but which proved quite useful.
Then right before the kid was born, some friends in NYC threw a shower for "us," aka my wife. Since we didn't really need the basics, we suggested people bring their favorite children's book, which worked out really well.
I think of this now because blogger and dad-to-be Matt Haughey (of Metafilter, et al.) reports that they did the same thing, with interesting and surprising results.
The Start of Her Library... [a.wholelottanothing.org]