We did a pony party for my daughter when she turned 4 as well and the kids had a blast. I ordered from oriental trading company a bunch of handkerchiefs as well as other pony type stuff and wrapped the favors in the handkerchief. It was a cute idea that the kids seemed to like. Oriental trading had pencils that had cowboy boots on them, I got stickers that had horses on them, I found golden nugget bubble gum, etc.
As for games, we didn't really do any. We had a bouncy house as well as a water slide set up (her bday is in June), so I didn't do any organized games (besides a pinata that was a cowboy boot). The kids were on the ponies pretty much constantly, so I didn't really need anything else.
- K. :)