My friend went to the dollar store last year and got each child got a large bottle of bubbles. All of the parents loved it!
I tend to go a bit overboard so this year since we had a gymnastics party, I did a jumprope, a ribbon wand that I made, and a "gold" medal in a small bag for each child.
Sidewalk chalk is always great too. I either buy a large pack and split it up or buy a small pack for each child at the dollar store. Good luck! This is stuff that I always stress over!