When my daughter was that age we did Planet Pizza - they have little kiddie rides, play area, kiddie games. I would also suggest Little gym - my daughter went to a party there and it looked like they were having fun. I've heard Gymboree music is good. Slappy's Puppet Playhouse may be a good different choice - its a marrianette puppet show at the Galleria - they do birthday parties. Any kind of art places like Kids n Art - I don't know what's in your area. The Zoo also does birthday parties. If you are brave enough to have a home party, when my daughter was around that age we did a princess and pirate party and had the kids come dressed up and did some themed games - they had a blast. They don't need much at that age really. If you want something nice outdoors, the Dallas Arboretum is featuring 7 different fairytale castles right now - just opened last weekend. You can bring in your own food, and there are picnic tables, so you could do cupcakes or even a little picnic.
My daughter just turned 6 and wanted a music party, so we did it at home. I just made some mixed CDs of their favorite Disney music and let them dance and have a good time, play games like freeze dance and musical chairs, and had lots of little percusion instruments to play with. Also had guitar cutouts for them to decorate with markers, glitter glue, and stick on jewels - they loved it. I did it in the afternoon, so we just had cake and ice cream, then we had a pinata outside. They were very entertained, and it didn't take much really. By the way, I don't know if you like to bake your own cake or not, or if you have a place you like to go to, but I want to highly recommend a lady I have used for my daughter's cakes the last 2 years. Her name is Tiffany Dyer and her website is http://icedartistry.blogspot.com/. She is not with a large bakery, though she used to be, so she knows what she is doing, she works alone. Her cakes are so delicious that every mother at my daughter's party asked for her info - and they look even better! She is awesome too because she works with you to custom design exactly what you want that will fit in your price range, and her prices are a small fraction of what the larger bakeries charge! If you check out her website, the Green heart shaped cake with Cinderella and her Coach is the cake she made for my daughter last year. It was unbelievable!
Good luck!!