I attended my first real "lingerie" themed bridal shower recently, and it was in interesting experience. Since it was for my ultramarathoner/triathlete friend, we got her some sexy lingerie as well as a cute sports bra and an under armor thong.
My friend is lucky because she has the kind of family that it is not awkward to open lingerie in front of. She, her mom, and her aunts are all very comfortable around each other. Her future mother-in-law was also extremely awesome and chill about everything.
The Invites: The invites were really cute - they were just invitations typed on blue cardstock which was then pasted on white cardstock. My favorite part though was the little note about my friend's size which was attached to the top left hand corner. It was typed with a "handwriting" style of font, and attached with a little leopard print ribbion. Somehow, the leopard print ribbon gave it just the right touch of "sauciness".
The Food: Anything goes. I have seen cookies shaped like underwear on some of the blogs. At the shower I was at, the cake had a leopard print band around the outside and was delicious. Also having regular food works, because it doesn't have to be themed.
The Fun: The only lingerie themed game I can think of is the one in which everybody buys you a pair of underwear and you have to guess who gave you what. I think this would be fun. At my friend's shower, we played some interesting non-lingerie games - the first one was pretty fun, but a little awkward, as a get-to-know-people game where everybody got a post-it with somebody famous's name on the back, and you had to ask questions about the person and guess who it was. This game usually makes me feel stupid, so I didn't enjoy it as much as other people. It did break the ice quite nicely. What got really fun was when they passed out a questionnaire about how well we knew the bride - including things like favorite color, favorite movie, favorite book, favorite food, first job, shoe size, first kiss, how she met her fiance, etc...since the party had gotten a little inappropriate already, and most of us didn't know the answer to the questions, we all just made up joke answers. For "first job" a surprising number of people wrote "blow", etc. It was fun and funny, and the raunchiest answers were written in by her aunts. After we all answered our questionaires, we passed them in and her aunt read them aloud. It was good but it took awhile, because there were about 30 questionaires. This is a better game for teams. We also played wedding scattegories.
The gifts: Lingerie. Lingerie has different price points and can be purchased at Target or somewhere fancier. If you are uncomfortable getting sexy stuff, you can get cute pajamas. If you are comfortable getting sexy stuff, you can go nuts.
The favors: One of my favorite ideas would be to do lingere sachets - just get small cloth bags and fill them with lavender or other dried herbs. It would be a cheap and easy favor. You can also do racy candy, or regular candy. Other options as favors or probably prizes, because they would be more expensive, would be lingerie accessories - bra strap keepers, strap holders, a bra bag for the washer, double sided tape, etc. I like these ideas because they are practical, therefore less likely to be thrown away like most favors or prizes.