I don't know why not go.  Showers - whether wedding showers or baby showers, generally are very informal these days and  a lot of fun.  Most of the ones I've been to, we laughed a lot, ate even more, and had a very good time.  People came in or left whenever fit best for them, and it was just very relaxed.  There always seems to be a gag gift - for example one group of gals had a tradition of giving this HORRIBLE pink sock doll at any occasion, one person would get it then eagerly plot an occasion when they could palm it off on someone else.  It was hysterical.
I think that if you are invited, you should send a gift or give the person a small gift the next time you see them - hopefullly before the shower, if you are not going.  
If it is not a very good friend it can be something inexpensive, there is no obligation to spend a lot.    
I think that for showers these days, when many people are kind of financially not so well off, taking over some home made cookies, a loaf of bread, or a basket of eggs is just fine.
Really the most important thing is that the person invited you and that means they hope you share a special day with them.  I am not sure it really is about gifts that much.  The gift is really a courtesy.  It is really nice if it can be something that will help them in their new life, with the baby, the husband or whatever.
There have been times when I didn't have any money so I made something - a nice photograph with a home made frame, things like that.
Imagine my shock when 35 years after I gave someone one of those 'cheap' gifts I found out they had it hung up proudly in their law office from the day they started practicing law til the day he retired.  All the expensive gifts he got from people over the years (his family was very wealthy) and he hung onto that one!
People like the thought that is part of a gift and the caring that is shown, it's not really about money so much as caring.
OH!  Another gift I made was a cheap wooden recipe box, then I took recipe cards, wrote out recipes on one side of the card and the shopping list for the recipe on the other side (!!!) and included one of those little flat tiny zip lock bags, of spices and herbs the recipe used.