Jewelry seems to figure prominently, but jewelry is a staple for significant occasions of all kinds, so don't feel obligated to make this your choice. If you think his and hers golf clubs are the perfect, quirky gift to celebrate your union, go for it.
One of the best things about a bride and groom gift exchange is that you can do it any time within a week of the wedding (or not). You can also make it as large and public or small and intimate a gesture as you want. When you're up to your elbows in wedding traditions and formalities, it's refreshing to have the freedom to perform this one very personal ritual your own way.