The big tissue paper pom-poms are the same ones that are everywhere these days -- I'm partial to this Martha Steward tutorial, if you aren't familiar with them yet. I made the light blue orbs with regular white chinese party lanterns, which I covered with blue crepe paper. I gave it a ruffled effect by hot gluing every few inches and folding and tucking as I went along. I would add a dab of hot glue, fold the paper, and press the fold into the hot glue. I'm sorry if that's not very clear -- I had all these pictures for you for a tutorial and they apparently never made it off my camera and have disappeared. But it's pretty simple to do and not even too time-consuming -- I'd say each lantern took about a half-hour or so.
But the creative part of the shower had everything to do with the activity we chose. Shauna is very artistic and creative, and we wanted to do something fun and different for her shower. We decided that instead of traditional baby shower games, we'd get wood blocks and have everyone paint a block for the baby to play with. I just covered my kitchen table with the kids' art paper (off the big IKEA roll), then put out paints and brushes and the blocks, in apothecary jars because that just makes everything fancier. The activity was a hit at the shower, and the blocks turned out delightful!