Here's something from a discussion group:

"When I was an impoverished art student..

I bought bag of walnuts and spent all night painstakingly opening them, emptying them, and stuffing them with glitter, small charms, candy and a personalized message chinese-cookie style. After that I sealed them up again with glue.

Very simple but they were a hit. Plus I had alot of walnuts to eat..!"

Apparently she got the idea from Andy Warhol's diary.

It turns out that making these is actually easy. Get a short knife in there and pry them open. If you get it right, there will not be gaps when the shells are glued together, particularly in the butt end. This project lends itself to vile comments.

What could you put in them?

personal message
an activity coupon "I will do one X for you"
glitter
werthers, fizz candy, mojos, small chocolates - all candies with wrappers
exotic coins
cat's eye, or other nice stone
stickers
tiny plastic animals. Or those capsules with foam animals that expand in water - safety issue?
the comics from double bubble gum
actual walnuts
moebius strip made of ribbon :-)
cryptic letters/treasure hunt, if you want to take that route. Each walnut could contain one letter. Invisible ink?
mexican jumping beans (? !)