My Mom, who was a great educator, always told me to invite no more children than your child's physical age -- because it works better. Younger children don't actually "play" with a group -- they play in ones and twos, and as they grow older, they learn to do things in groups.
We've done the chuckie cheese thing, parties at the YMCA so the kids could swim, parties at home, and parties at the local zoo. Bowling is one of the cheapest alternatives, for a party somewhere else. Roller skating is also on the lower end of the price range, but the rinks are loud, so if there is't a separate room for the party, it's LOUD and you have to shout to be heard ALL THE TIME. I've found that the parties I've done at home aren't really all that much cheaper than going somewhere, as long as that somewhere isn't horribly expensive. When we had parties at home, I bought stuff to make crafts and things to do, and that drives up the price. So after that, I kind of gave up and went back to doing parties somewhere else.
Whatever you do, be sure it's something that you will enjoy. Nothing is better than having Mom happy -- if YOU have fun at the party, the kids will also have fun. Where we live, there's a farm store that does corn mazes, and I don't think that's terribly expensive -- it is kind of weather dependent, unless you go to walmart and buy 1.00 ponchos for everyone in the event of rain. But I think that would be fun. Trouble is my family has aged enough that I'm the only one who thinks it'd be fun !
Good luck !