Traditionally Wedding Favours would contain five sweets, such as Sugared Almonds or Chocolates. Five because it is an odd number, therefore can not be evenly divided & to represent the unity of the Couple or five to symbolise Health, Wealth, Happiness, Fertility & Long Life.
I personally feel that that is not so much the case nowadays. Instead couples give a small gift to their guests as a gesture of appreciation & gratitude, to say thank you.
Favours can be absolutely anything too. Chocolates, sweets, mints, to homemade preserves or Gin! Candles, perfume, seeds & lottery tickets are also very popular! Favours are usually something that the Couple themselves enjoy or feels represents them & their Wedding day perfectly.