J.P.
We had a gymnastics party at the park district for our daughter's 3rd bday last year, and all of the kids, ages 2-6 had a blast! It's in Carol Stream, but your local park district may offer something similar. This year we're having another party there for her 4th, but it's going to be a beach-themed party (since her bday is always in winter) and the people at the park district decorate and run all of the games for the kids. I've also heard good things about the Painted Penguin pottery-painting parties. Have fun!