I agree with the other posters, in that how you celebrate should be a personal decision. You don't have to have a big,expensive party every year, or at all for that matter. It really shouldn't be a matter of "have to" but "want to" and it can be as low key, or as extravagant as you decide.
In planning parties for both my daughter and my nephew, one site I really LOVE is www.pepperspollywogs.com. She does nothing but kids parties, and has party ideas for kids that fit really any budget. So say you have a three year old into Fancy Nancy, for example. You can check out her party plan, and she has ideas for do-it-yourself things, low budget ideas, and more extravegant ideas. I would check her out.
I have done a birthday that was just my daughter's favorite meal, a present with the family and a movie night, and I think that meant as much as a big party at the Bouncy House. Don't let parties stress you! :)