Awww you've gotta have a baby shower!! Esp. for your first. Why not celebrate the impending birth of your gorgeous baby?? I don't think it's self indulgent or silly at all!
I had a delightful time at my baby shower. It's lovely to have all your female friends and family dote on you... and it's kind of a "right of passage" if you will.
We played a few games but didn't over-do it because people really just wanna sit and chat (and maybe have some champers).
I was soooooo spoilt with gifts but just about everything came in handy once Gab was born. With each invitation, I gave a few "gift ideas" because people like to know what you really need and they don't want to buy you things that you already have multiples of. What I did was write down everything I still needed then split it in to two lists: things I only need one of and things you can't have too many of. I then gave everyone a list that had items that varied from price range (things relatively cheap to the more expensive gifts that they may want to contribute to). Apparently everyone found it really handy and I know it helped me out! We were on one wage and it was proving to be difficult getting everything together in time for Gabby's birth. My friends were really happy to help out and know they contributed in a meaningful way.

Really, your baby shower can be anything you want it to be but don't feel bad or silly for having one!!