Promo items differ from genre to genre. I heard a lot of suggestions from the romance authors at my publisher of promo items I never saw at a science fiction convention. When I started attending EPICon, which was a convention run by EPIC, an organization of electronically published authors of all genres, I saw a demonstration of what other genre considered great promo. Emery boards, balloons, fans, bags of candy, flashlights, rubber ducks, ribbons for convention badges, book cover buttons, notepads, stress balls and many more. Since these were advertising ebooks, there were also CDs and mini-cds with sample chapters and, in later years, free flashdrives in a variety of shapes. As an example of what is popular recently among romance authors, my friend J. Kathleen Cheney wrote a swag summary of her experience at Romantic Times in Dallas.
bookmarks and postcards.
The pens are also useful when I'm not at a convention. My local bookstore isn't interested in bookmarks, but will take and give away my pens. My local post office is also happy to get pens. Black ink pens were the ones they preferred so that is what they all are.
Although pens themselves aren't something featured in my books (as a flashlight was when I tried using that as promo), I do try to have the colors reflect something in my books. The Crystal Throne pens are the colors of magic in that universe, while the silver pen for Agents and Adepts reflects a magic wand in one story. The stripes on the Michael and the Elf pen is similar to the stripes in the elf's cap on the cover of the book and the colors on the Talking to Trees pen call to mind those of a fall forest (well, they do to me).
Where does an author find promo material? You can often make and print out your own bookmarks, but after a while you'll start to want more professional looking material. There are several companies - all with varying price ranges and quality. Once you get on one company's mailing list, you'll start getting catalogs and samples from many more. I use Overnight Prints for my bookmarks and postcards and National Pen for my pens. I also have labels (book title and URL) that I get from Colorful Images that I put on the back of all my paper correspondence (especially my bills). Ask any group of authors and you'll get several more recommendations (feel free to add in the comments).
There is as well the more expensive form of promo. Tee shirts, mugs, messenger bags, baseball caps, etc. A few years ago, these were often freebie items. More often now these are considered a reward for your fans or patrons.
What type of promo do you give away? What types of swag do you pick up at conventions?