A lot of the baby's first year record books also have places to record pregnancy stuff - they might like to have something like that. Also there are books specifically for expectant dads - stuff like surviving labour, things not to say, how to help your wife, what to expect during the pregnancy, delivery, and newborn days, etc. I've seen some pretty good ones that are funny, and practical too.
Magazines, both pregnancy and non-pregnancy related would be something that I would love myself, too. Something maybe with ideas for decorating a nursery?
Sounds like a fun project - I'm sure they will appreciate it!