The Little Gym, Jumping Party or anything like that would be fun. But they can also be a little costly.
What I plan on doing, is just having a fun little party at our home with games, simply yet exciting decorations, some food and cake. There are tons of great party games online.
Just pick a theme that he is interested in. My husband's favorite party as a kid, was a caveman party. They had chicken wings and pretended they were teradactyl wings, and they ran around acting like monkeys and everything. They had toy dinosaurs as the party favors and hung teradactyls from the ceiling, and they made clubs out of brown paper. Any game can be incorporated for your theme. Like pin the tail on the donkey, can be pin the tail on the dinosaur.
Whatever he likes, Halloween, superheros, a favorite cartoon character, dinosaurs, pirate, sports, racecars, jungle, bugs... just browse online and there will be tons of ideas.
Here's some places to start idea hunting:
http://www.amazingmoms.com/htm/KidsBirthdayParties.htm
http://www.birthdaypartyideas.com/html/party_ideas.html