I didn't have one as we were in the position of being able to provide everything we could possibly need for our baby ourselves. I felt (and it's just fine if you feel differently) that as we were in this position, pre-birth gifts were unnecessary. I caught up with my friends pre-birth as we normally always had, and having an organised get together solely because a birth was imminent seemed a redundant idea. I happily accepted gifts and cards for the baby once she was born from our close friends and family. Even then we ended up with a mountain of stuff! All gratefully received, but I can't imagine what I would have done with the extra gifts a baby shower would have entailed!
There are plenty of situations where I could foresee that a baby shower might be appropriate for others, it just wasn't needed for me.