My 5 year old and his buds like to play bingo(OMGosh, La's Rainbow ABC kit would make great picture bingo cards!!), freeze dance, and 'hot potato'. Also a bean bag toss
They also like to do a craft. I did picture frames one time--the foam ones and they got to decorate them with the sticky foam pieces and other doodads(no glue). The also decorated foam door hangers the same way. Then, we decorated cupcakes (or cookies one year). One year, we decorated foam snowflakes with their pics. I took pics of the kids as they came in the door, then, printed them while the guests were arriving, Punched them out to the right size(I just made a sheet of wallet size) then had them ready for the kids to put in the middle of their snowflake. They decorated these with glitter glue--need to do early to give glue chance to dry.
A party that we just went to yesterday, they had everyone bring a book in lieu of gifts. Along with a goodie bag, they each brought home a book.