My daughter just turned 4 last month, so I know what you are going through. There are many choices for renting, depending on your budget and how much work you want to put into it. You might want to check out a few community centers for lower cost alternatives.
My own child just wanted a pinata for her birthday, so we had a simple home party with a pinata that you pull the strings (didn't want kids swinging a bat indoors).
One great book I like is "The Girlfriends Guide To Parties And Play Dates" by Vicki Iovine. I checked it out at the library and liked it so much I bought it later and lend it out to my friends. There are probably many others.
Talk to your child, and keep it simple. Good Luck!
~ Elise