C.B.
We went to a really fun birthday party at Troy gymnastics. My 3 1/2 and 4 1/2 year old boys loved it. They have 2 people coaches lead the kids through many fun activities, so the parents don't really need to do much either. http://troygymnastics.com/index_files/birthdayparty.htm
I've also been to a birthday party at Total Soccer which the kids really enjoyed too. Again, a coach takes the kids through a bunch of fun activities. That might be too far for you but maybe another place has something similar.
My girlfriend just had a field trip with her 5 year old somewhere where they all got to make their own pizzas. That sounded fun.
Or, there is always one of the inflatable jumpy places too.
Of course, I am sure Chuckee Cheese would be just fine. My kids love it there too!