I know that some guests who have never seen this done before have been slightly offended at the thought that they'd have to help address their own thank you card. But, the way I see it, the bride or mother-to-be is so busy at this stage of her preparations, I'm happy to help lighten her load. Usually she doesn't send out her own invitations, so she doesn't have a ready-to-go list of her guests' addresses.
At some showers the request is sweetened by tossing all of the envelopes into a hat, and pulling out one or two for a door prize. Considering how many readers now complain to me that they don't receive thank you notes at all for gifts, it's good to see that some people care enough to make sure you do get a personalized note. As long as they don't ask you to add a stamp to the envelope, I'd be happy to fulfill this small request.