Great topic. We're still new at this and very excited about any cache find - micro or not, swag or not, etc. but we do really enjoy finding *something* that we can take back as a memento of finding that cache. Some of the things we have chosen are a couple of chess pieces, a wooden coin, and a tiny green army man. We don't want anything big and don't require anything we can actually use or the kids can play with - we are just collecting our mementos and have a special shelf for them. It's a tangible reward for finding the cache, but real "swag" isn't what we're looking for - although we do enjoy trading up and try to leave behind something fun for someone else.
I was, however, disappointed when we found an ammo can cleverly hidden in a beautiful public garden only to discover a couple of broken toys and a very dirty package containing some stickers and a bunch of business cards and other scraps of paper. The original cache left by the CO was quite nice and very extensive - geocachers obviously haven't been trading up or trading at all.