I don't remember them fifteen years ago, when I was first engaged and bought my quota of bridal magazines. They talked about all sorts of things, such as bridesmaids' gifts, but I don't recall favors. Because, if there were, I think I would have had them. I mean, we had yarmulkes and bentchers, but if people were giving out little gifties or packages of candy, I would have done it. I believe, anyway. And I'm sure that more modern Orthodox weddings would have them today, too.
I also went to a Catholic wedding a couple of years earlier and I don't recall favors there, either. But that was in 1988, so who knows?
Am I remembering wrong? Or are they a relatively recent thing?