Everyone is a winner at our birthday parties and does not receive a prize for every game played. Every child leaves the party with a bag full of goodies that go along with the theme.
At our pirate party we gave away swords, bandanas, pirate telescopes, etc. We still see these items in our friends dress up boxes and it tickles me to know that I didn't give away a toy that would be thrown away in a week!
For my daughters party I made a coloring and activity book pertaining to the theme of the party. On the front I put a picture of my daughter and typed, "Thank you for coming to my party!" Each child received a little basket with crayons and a package of fruit snacks.
I would rather give away something that the kids can use, rather than something that will get thrown away. If you really want to give away a prize with each game I would recommend bubbles, balls, squirt guns, stickers, etc.