A friend of mine had her shower at about 36 weeks, and went into labor the morning of the shower! There wasn't even time to call us all - we arrived, and the MIL was there, but the MTB, her husband and her mom were all at the hospital!
We did a group phone call with her for a little while, and then things started progressing and she had the baby a few hours later.
We did the shower games (including an advice book), and ate cake, but did not open the gifts, of course.
However, I and a couple of other ladies stayed after with the MIL to assemble the bassinet she received from her MIL, since they were going to need it when they got home, and to organize some nursery stuff they hadn't gotten to yet.