We're doing both OOT bags and favours. We really want to put together great OOT bags to thank all of our guests for spending so much money (and time) to come to our wedding. As for favours we're making donations to our local humane society (we're huge dog people) so we're killing two birds with one stone, something in our guests names and we get to support a great organization! We're making cute cards with a picture of our Great Dane on them (he has a sign that says "thank you" around his neck...cheesy but cute) since he can't be with us at the wedding, lol.
I don't think that you necessarily need to do both, we just really wanted to.