OMG this is bringing back bad flashbacks growing up and even through my early adult years where my dad would go to various conferences and bring back all sorts of random conference swag crap. Besides thousands of bags and pens, there were tons of random other crap he would bring back "for the kids" (after we had kids but even for my brothers' kids): squishy stress balls, random lights, a cape (wth?! I think our kids may still be playing with this), MINTS (ah yes, how can you go to a conference where at least 10 vendors don't have mints), and I'm sure a crapload of other useless items.
Off the top of my head, besides pens and bags/totes, I really can't think of any conference swag I've actually kept that is still useful to this day.