All those suggestions are great!
You could also give Jordan Almonds as favors- these are the typical wedding candy in Italy, and each guest recieve either 3 or 5 of these in a little bag (always those numbers, and always, always uneven for luck!). You could write a little note explaining the tradition (the history of which is easily Googled).
Serve Italian antipasti (finger food apetizers). There are lots of good ideas and recipes on this blog http://www.msadventuresinitaly.com/blog/.
Have gormet Italian food (pasta, cheese etc.), or travel books as favors and prizes.
Play some contemporary Italian romantic tunes- my current favorite artist is Biagio Antonacci. His stuff is easy to find for download, or if you’d like I can send you a few songs. His songs are incredible, romantic but happy and would be the pefect way to set the mood for a shower.
Use iconic Italian images from film (i.e. Roman Holiday or La Dolce Vita) for the invites or other papergoods used at the shower.
If you’re racking your brain how to serve your guests espresso without an espresso maker check out a stovetop espresso maker (I’d recommend this one http://www.williams-sonoma.com/products/sku7117054/index.cfm?pkey=xsrd0m1%7C16%7C%7C%7C0%7C%7C%7C%7C%7C%7C%7Cbialetti&cm%5Fsrc=SCH
). Use with a ground espresso coffee (I use Lavazza, but Illy is good and easier to find in the States). It needs to be used a few times before the it makes really great espresso- just like a cast iron pan it needs to be "seasoned". Half of Italy makes their espresso (they call it Moka) this way, and not with a machine- it would also be a nice gift to her afterwards. They’re really easy to use (you can find directions online of course), my only tip is to NEVER wash with soap, only your fingers and hot water (it’s all about seasoning Moka maker!
And finally, my coup d’etat- these cookies. It’s an old (not well known), AMAZING Italian recipe. They’re kind of like meringue, but SOOO much better- they melt in your mouth! I’m planning on having them at my wedding!
Biscotti Brutti ma Buoni (Ugly-But-Good Cookies) 😉
6 egg whites (fresh as possible)
14oz toasted hazelnuts, finely chopped
11 1/2 oz caster sugar
a FEW drops vanilla essence
unsalted butter, for greasing
plain flour, for dusting
Stiffly whisk the egg whites in a grease-free bowl, then gradually fold in the hazelnuts, sugar and vanilla. Pour the mixture into a non-stick pan and cook over low heat, stirring contantly with a wooden spoon, for about 30 minutes. Preheat the oven to 350. Grease a baking sheet with butter and dust lightly with flour. Remove the pan from the heat and place tablespoons of the mixture on the prepared baking sheet, spacing well apart. Bake for about 40 minutes WITHOUT OPENING THE OVEN DOOR. Remove from the oven and leave to cool on the baking sheet, then remove with a palette knife.
Let me know if I can help with anything, and I’ll keep wracking my brain for ideas! Buona fortuna!