Insult, meet injury. It's not enough that your wedding got called off. Now, you have to deal with all of the other annoying tasks that must be addressed. Your wedding might not have happened, but chances are your vendors still need to be paid, often in full for services they were prepared to provide. So, unless you're lucky enough to have an extra-sympathetic caterer, it's time to whip out the old checkbook and settle your bills. Often, the person who did the cancelling will chip in most or all of the cost, if he or she is nice enough and can afford it. If not, you'll need to work through a payment plan that both of you can live with.
Remember that pricey kitchen mixer that you and your then-fiancé were so delighted to receive? Wedding etiquette dictates that all gifts need to go back, pronto, although many guests won't expect them yesterday. They know you've been thrown for a loop, so they won't begrudge you a kitchen appliance or two. Still, the right thing to do is make arrangements to return all wedding gifts as soon as possible (again, those bridesmaids can come in very handy).