At my son's birthday party (every year) we did 2 things (besides eating) and for most of the kids (boys and girls) it was the best party they had ever been to. Actually, most of the parents (mom AND dad) stayed for the party.
We lived "in the country" and as his birthday is in Sept, we would all go on a walk /- always the same route - across our property and into our neighbors meadow. (of course with permission) The colors were changing and there were always cool things to find. Caterpillars - bird nests - pretty leaves, etc. A walk to a park or even a trip to a nature center would be a good alternative.
The second thing we always did was make a simple craft. One year we painted pumpkins. Another year we had lots of felt, craft foam sheets, glue, glitter, pompoms, scissors, etc - and they could make whatever they wanted. He's 23 now, and I can't remember what else we did, but you get the idea. One reason the craft thing was a hit, was because they could do what they wanted with the materials on hand - so using prefab "kits" aren't a good idea (plus they're expensive) ( I have looked at some of the kits for ideas, tho.)
Enjoy!