What is the focus of your forum? Is it the link in your sig?
If your site is quite specific, then a relevant prize might be a good idea. But if its a more open community then cash might be a better prize. (If it is a help forum, i think cash would be more fitting)
Try asking some people if they would sponsor a prize, e.g a game from a large gaming site or store. I recently had an author agree to post a copy of his book to the winner of a contest I ran.
Think of things that might be valued by your members, but that wouldn't cost you anything - e.g. member of the month.