i think it depends on if you are willing to spend that much money! I've been to two build a bear parties, and the first time, the mom gave everyone a spending limit of $25 each!!! If you have a lot of kids coming, that would add up QUICK! yikes! also, since there was so much to choose from, the kids were kind of let loose in the store, and it was a bit chaotic.
the second party we went to, I guess they paid $10 per kid, so they only got to choose which color they wanted from the $10 bear, and then they got to put ribbons on the bear. My friend who threw the party was upset that that was all the kids got... she didn't realize they wouldn't get any clothes. I do have to say, since there was no shopping to do, the girl running the party played games with them while the stuffed the bears, and so the party itself was better.
my neice had a sleepover party with her friends (she's a little older), and my sister found someone that comes to you, with all the fixings to stuff and dress a bear. I'm not sure what that costs, but it has to be cheaper than build a bear!!!!!!! Check craigslist, i think i've seen them advertised on there.