B.E.
Here are some of the types of parties we've been to in the last year (5-6 year olds):
Childrens' museum
Gymnastics
Gym/sports
Bowling alley
Puppet theater
Park
Movie theater
Aquarium
Last year I held my son's 5th birthday at his Pre-K on the weekend - they rented a great room and provided a bounce house plus a helper for the party. It went well but was a LOT of kids and a LOT of work.
This year I decided to save a few $$ and just held the party at our house a few days ago. We had 10 show out of 17. My house is pretty small, but it all worked out because 1. the weather was nice enough to have an obstacle course and a treasure hunt outside and 2. it was a Lego party so when they were inside they were all absorbed with building Legos. It all worked out much better than anticipated, though I think I have a few more gray hairs now!
Best of luck!