R.C.
I don't make goodie bags anymore. I just buy one thing and pass them out. Here are a few of the different things I've given instead. Those balloon punching bags. You know the ones with a rubber band handle and then you hold it and punch it back and forth? I used an air machine from our blow up air mattress to blow up the balloons. One year at my daughter's luau birthday party, I gave away those very nice Hawaiian lays, the ones with shells on them. This year, we bought kites at Walmart and gave those. I think most parents like that better. I just started doing it because I hate getting those goodie bags with all that stuff and then it just ends up scattered in the car and around the house and they never play with it. So I thought I'd start buying things they would play with. The kites were only $1.00 each. I hope this helps some. Plus, it relieves some stress off you, having to stuff the bags and everything.
The music idea sounds good that others have suggested, and so does the adventure with the map. You can do like Dora and make each road a color, red, green and blue. Just remember, they are three, so the attention span isn't going to be very long for anything really structured. I say go to a playground and let them play!