People aren't memorizing your list, and end up getting you items in multiples, no matter how hard you try to avoid it.
For instance, I received 3 tubes of nipple cream. I understand my nipples will get sore, but I really hope one is enough to start! If my nipples hurt enough to make it through 3 tubes in the first few months, I'll likely be looking for other solutions and different brands, or (gasp!) give up on breastfeeding altogether!
This reason isn't for everyone, as it requires some patience and some work, but it can really pay off.
People often buy full price, as they think of buying you a gift a week or two before your shower. If you have the patience to go back to the store with the item and the receipt when these items go on sale, you can save a huge amount. The newborn diapers on my registry are $14.99/pack at Toys'R'Us. Yet they often have them on sale for $8.49/pack. With a little organization, I can get two packs of diapers for the price of one; that's 6 days of diapers versus 3! Did I mention diapers are expensive?!
The week after my baby shower, all of Aden & Anais went on sale for 20% off at Chapters. My girlfriends had purchased a set for me from there at full price, but had given me the gift receipt. I was able to go in and get the difference back in gift cards, to put towards another purchase. That's almost $20 to spend on a book or other cute baby item of my choice in store or online! And I know they were genuinely happy I was able to do this, one of them even told me about the sale.
3. Lowest value for returns without gift receipts
Many stores, in particular Toys'R'Us have a policy of giving you only the value of the lowest price they ever charge for that item. Say your child is born huge and never fits into newborn diapers? You get only $8.49 for that pack, even if they are currently being sold at full price, and even if they were purchased off your registry at full price.
With the number of people who use Toys'R'Us for their registries, even knowing they don't have the best prices, you think they would have the technology to help you return items purchased on it at the price that was paid. But what's their incentive to do so? They know you're going to spend money there anyway, and that you have no choice but to return or give it away if you can't use it. If you return something without a gift receipt, which was paid for full price, Toys'R'Us is actually making money for not selling you something.
4. Baby may never fit into certain clothing, diapers, etc
I'm keeping the tags on most of my newborn-sized items until baby comes, in case he never fits into them. Diapers can also stay in their sealed box or bag. Every baby is different, and there's no guarantee they'll ever fit into anything newborn. Wouldn't it be nice to exchange these for items a size bigger and not lose money on them in the process?
5. It's a question of taste...
This is a controversial one. If you really don't like something you received, and don't plan to use it, should you keep it? Would your family and friends prefer feeling good that they made a great choice selecting a gift for you, or would they prefer you get something you love and really need?
You'll have to use your judgement on this one, but it'll be difficult to even contemplate this if you don't have the gift receipt.