One thing that my friend did that I liked was everyone at the party drew a number and made the baby a b-day card corresponding to that # (ie if you draw a 5 that's for their 5th bday). Kind of neat b/c the adults had fun making the cards with markers/glitter etc and a Great Aunt drew #18. She probably won't be around when he's 18 and it's really cool that he'll have a b-day card from someone who cared about him. You can easily get extended family/friends who couldn't come to participate too.
Also, you can get something like a white table cloth and sharpie markers and have everyone write down on the table cloth one hope, dream, wish, or something they love about the baby. Then you can use that table cloth every year for the bday party (I saw this done w/Thanksgiving by writing down one thing you're thankful for and it turns out really cool).
As far as things to avoid, just make sure the pregnant or new mommy is comfy with the time (don't have a 5 hour party if she's going to be miserable and tired). She should be comfy. the party is supposed to be a fun celebration so know you're group and decide if they are the game type people or if just hanging out with snacks and chit chatting is enough. Keep in mind alot of preggos do not like any "guess how big I am" games (ie TP around belly) so try to find out before doing that kind of thing if it's going to result in a crying mom. Also part of the fun is opening presents, but time can be an issue. Also, some cultures open presents in private.
There are tons of games online. Also, try non baby related ones like guess how many jelly beans in the jar.
Food can be sooo simple or as fancy as you like. Veggies with dip, finger sandwiches, cake and icecream. Lasagna, chicken...even BBQ or grill outside if the weather's nice. Or you can go all out. Depends on the type of party. Know the mom and see what she wants. I prefer at someone's house and laid back, but that's who I am. My sis is more of a formal fancy party thing.