I'd do favors. But that's me. I love that kind of junk. With that said, considering they are skating, a sleepover, and probably getting food, the favors are probably not necessary.
If you do decide to do it, consider:
1. Marshmallow shooters (not the expensive gun-type, but ones made of plastic tubing they can make themselves) You can find them here:
http://www.amazon.com/Marshmallow-Blower--Classic-Red-Blu...
or
http://www.amazon.com/Be-Amazing-Toys-2110-Marshmallow/dp...
2. Squirt guns
3. Paper plane craft kits
4. Marbles with directions on how to play
5. Small Action figures (superhero or Star Wars guys for instance)
6. puzzle books
7. comic books
8. cheap dvds (under $5)
9. Mini-science kits : see: http://www.amazon.com/s/ref=nb_sb_ss_i_0_18?url=search-al...
10. Hexbugs - see:http://www.amazon.com/Hexbug-Nano-Colors-May-Vary/dp/B002...
or this: http://www.amazon.com/OWI-Frightened-Grasshopper-Kit-Powe...