I definitely think that the back-to-school sales at Target have some great things that you can get, crayons, colored pencils, for $.10-25. I like to go to Michael's and buy those $1 wooden boxes or toys (cars, planes, doll house furniture), which are occasionally on sale for 2 for $1 and put those in a goody bag. You can even set out paint at the party and make it a craft, so that the children can put it in their goody bags once dry at the end of the party.
I also find that there are some inexpensive half-decent things at
http://www.orientaltrading.com . Just beware of the small cheap stuffed animals (the plush realistic horses in particular). One time I ordered 25 of them, knowing we were having 22 guests, and 5 of them were deformed and misshapen beyond recognition (stuffing hanging out, eyes sewn in the totally wrong places, totally misshapen heads) - they were really cheap though (half the price they are listing them for now). But some of the items are perfectly good, like the cloth bags, for instance.
Even
Lillian Vernon sometimes has really neat things in their outlet and sale sections for really cheap.
You didn't really mention your budget. I think if you look around, you can get $4 and $5 stuffed animals in numerous places, nice ones, too. So if you just throw a cute stuffed animals in a colorful paper bag (or a plain paperbag that your DC can decorate with stamps and paint or stickers), you can stop at that, or add a plastic ball, box of crayons and a fruit leather.
HTH