M.G.
A great party starts with a cute invitation to set the mood. Check out Paper Capers in Lincoln Square for some cute invitations you can print.
Lots of people do a combo lingerie party/ girls night out or bachelorette party. Some do a PJ overnight party. The older crowd calls it a personal shower and is a little more conservative about it all.
You can have cocktails and hors 'd oeuvres or the traditional shower food: cake & punch.
Some people do a few little games but some find it corny - depends on your crowd. The fun is usually when somebody buys a very conservative bride racy undies or embarrasing items!