Well I am have looking for different ideas as well. We have done the Chuckie Cheese thing. We have done Swimming Party at the YMCA, Party at the Park and rental the pavillon, a gym party with games and Hockey, Horse party and everyone rode horses.
This March my daughter wants a Painting Party. She went to one before and everyone got to bring something home they made. If you can't do it at home there are places who do parties. We are having it at a Pottery/ceramic place and they have a art area everyone picks out something to paint and also a another room for the birthdays so we don't even have to worry about the mess. I also found some New never used paint cans at home depot and we are decorating them and making party favors for the kids, and a cake in the shape as a artist palete.