If having a birthday party at home is not something that you like to do, which last year when I was pregnant with Angel Face I did not want to deal with the set up, clean up and all the people in my house we had the kids party at a local childrens museum.
Roller Skating– Many rollerskating rinks have birthday packages that are fairly cheap. Our local rink has a party package for 12 kids, it includes pizza or a hot dog for each child, sckating for 3 hours and all paper products for just $95! Check your local area for roller skating rinks here
Bowling– I have seen quite a few bowling alleys have birthday party packages, in the ranges of $8-$10 per child including 1.5-3 hours of bowling, and shoe rental. Most places allow cake to be brought in. You can find local bowling alleys here
Chuck E Cheese– Normally it is pretty expensive to host a birthday party here, but if you go in as a large group and use coupons you can turn this in to a fairly priced party. Most allow you to bring in your own cake.
Children’s Museums-You can find Children’s museums in your area here