When dd turned 5, we had a bunch of kids over from her kindergarten class. In addition to the usual party activities, we had a couple of arts & crafts projects for them to do. They strung beads and I don't remember the other one, sorry.
If it is for a boy and you are doing CARS or CHoos we had enlarged a pic of them and played like pin the tail on the donkey, but we did the tire or the cars on the train. for the girls we had them make there own crowns.
You can also check out dltk-teach.com it is a great site for party ideas and educational things.