I went to a 1920's party recently, we dressed up, had cocktails and nibbles, (Adult party) and played games. So much fun, at so little cost!
As the 20's was a frugal time, it went down very well. Everyone was asked to bring a bottle, the hostess provided the food and games.
Other theme parties -
Cooking theme, children were given play doh (homemade of course) to practice with, while they were washing their hands, the real cookie dough came out, make the cookies with the child's initials, go play games while they bake, and they get to keep their apron (instead of a party bag) and take the cookie home, all decorated.