I always carry a geocaching backpack with me. One pocket full of caching tools (tweezers, scissors, flashlight, telescoping magnet, etc.), one pocket full of stuff to fix caches (replacement logs, tape, wire, extra containers), one pocket full of first aid stuff and the BIG pocket full of swag. I put a lot of thought into my swag and restock it often.
I like to leave stuff for both adults and kids alike. For kids - new toys, glow sticks, school supplies, books, magic trick sets, playing cards. For adults, caribiners (I know I always love finding them), compasses, tweezers, space pens, mesh bird feeders for finches, thin gloves, vinyl repair kits, laser pointers and flashlights, pet toys and pet waste bags in dispensers, all kinds of stuff. We also had some mailing labels printed up with our caching name that also say "Happy Caching" and we put the stickers on the swag we leave.
The last thing I carry is a ton of golf pencils and little sharpeners. I put them in most caches I find that can hold them.
We're not big on taking swag unless it's something we can really use, but almost always leave something knowing that one of the next cachers will probably enjoy it.