Last year for my son's 4th birthday party we had a pirate theme. All the kids came and made telescopes (is that what they are called?), colored their own bandannas, made foam pirate hats, and then went on a treasure hunt. We also had my sister there to paint their faces up like pirates if they wanted. It was SO easy and simple, but the kids had a blast! If you are interested in anything I did, let me know, and I will give you my info.
This year, I will be due with my second within a few days of my first's birthday party, so we will be going elsewhere. However, I had originally hoped to have a dinosaur party. I was going to bury "bones" in the sand box, create dinosaur masks, search for dinosaur footprints, and have them build their own dinos. I hope this helps and have fun!