by "gym" party, do you mean you don't want it at Little Gym and similiar places? Or are you opposed to all party locations?
What kind of budget do you have?
I was opposed to having my daughters parties at a playcenter just because it's so expensive and ridiculous! But my friend had her son's at a place, and she said it was so nice, she didn't have to do anything but enjoy the party. My daughter's birthday is in March, so the weather is too unpredictable for an outside party, and I caved and had hers at a kiddy place (in NJ). Everyone had fun! This year her party was at a farm/nature center that has lots of indoor and outdoor activities, thankfully, since it rained! My other daughter has a summer birthday, so we reserved a pavillion (for free!) at a local state park.
Anyway, when in Nov is your son's birthday? My cousin's son's birthday is at the beginning of Nov, so she is actually having his party on halloween, and it will be a halloween themed party. you can get tons of fun party supplies at orientaltrading.com
I will think a little more and give you some more ideas later!
here is one thing I found near you... Great Valley Nature Center. it doesn't say anything about birthday parties, but I would call and ask. maybe they would do an animal presentation for you... http://www.gvnc.org/indoor.html
this looks cool and is pretty close to you... though it says you have to be 4 or older to have a party there. Just to keep in mind for the future! http://www.briarbush.org/Facilityrentals2.asp
also, November here isn't really all that cold anymore... if you have room at your house to have an indoor/outdoor party, you could rent a bounce house. My friend's mom rented one for her son's birthday, and the kids were in there for almost 7 hours!!!!! on and off of course, but mostly on! it was raining a bit that day too, but it had a roof, so it stayed mostly dry.