I've done quite a few. Someone brought a framed picture of himself from high school, it was pretty funny. I once received about 10 original Pearl Jam LPs (from a gal that used to work for the band) ... I was pretty stoked! I also bought really bad movies, a bunch of stuff from the dollar store, etc ....
Jessica, it's when you exchange cheap funny (sometimes gag gifts). The rules vary, but usually you draw numbers and people go in order and they can swap with an opened gift or choose a new one.