I found a list of "Things You Should Not Send Your Penpal" at CityMity Penpals Blog. It was a good, sensible list.
Not many people are writing letters which are mailed though the postal system these days. I did, years ago and I started thinking to do so again. If I find someone I’d enjoy writing with. We used to exchange more than letters, stamps or postcards. There were friendship books, mail art and anything else you could fit into an envelope without too much of it sticking up from the flatness of the envelope.
One thing which is risky to exchange, seeds, or anything plant based. Very sad. Some plant things are ok, usually something which has been processed. I think you can send tea bags, but not loose tea. So, you could exchange seeds if they came from a seed company, but not seeds you collected from your own garden, or seeds you found on a road trip, in the neighbourhood, etc.
Currency is ok if it is very small in value. Very small, being less than a few dollars. I used to like seeing what change/ coins looked like from other countries. I still have some of the coins I collected from penpals.
As a teenager with a tiny budget, my biggest expense for letter writing (other than postage) was stationery. I would shop for boxes of stationery and especially if it came in its own pretty box I could keep long after I had mailed the last of the writing paper and envelopes away. You can still find beautiful or customized/ unique paper and envelopes online but a lot of it seems too girly for me now. I may end up sticking with postcards for awhile.