We usually do a themed party plus moonbounce to get the energy out. One year it was knights, and I had made felt tunics and bought inflatable swords and cardboard shields to decorate and use from Oriental Trading (not great quality, but the kids enjoyed then while it lasted). My husband directed the "battle". The cake was a 3D chocolate castle.
Last year, we had a movie, activities centered around the main character, a similarly-themed pinata, with a cotton candy machine and outdoor games rented from the moonbounce place.