From what I'd assume, catering is ALWAYS going to be much more pricey than doing the food yourselves. Bridal showers are really simple, and not a big deal to put together at all. Have someone make (or get from a grocery store) a fruit tray and a veggie tray, and then have some family members and members of the bridal party each bring cookies, chix salad sandwiches, and things like that. My shower was recent, and it turned out very nicely - my girls all made something, so did my Mom and future MIL. Also, some members of my family each brought something, too. There was a veggie/fruit/cheese tray, chips, cookies, meatballs, chix salad sandwiches, peanuts, and other odds and ends. The only thing they didn't do themselves was the cake - they got that from Sugar Shack. It was all really nice!
They did a great job planning my shower themselves - I didn't get involved at all...which was FINE with me, lol. I have enough stuff to worry about than to deal with that too, and I knew they'd do a fabulous job.
The one thing I did do was to get corages for my bridal party, the mothers, and the grandmothers. I thought it was nice and made them stand out a little - they really liked it!