I had my son's 4th birthday party at a place called "The Cowgirl Ranch" in Westlake... the kids got to ride horses and feed them carrots, i brought lunch for everyone and she provided lemonade. I bought them bandanas and little cowboy hats and sheriff's badges... they got to do some games there and she told them all about cowboy's gear and such. It was a great time and lots of fun.
Another idea is to do a birthday party at the Fort Worth Zoo. For about $200 you get your own private room and they bring in 4 different animals from 4 different groups - reptile, mammal, bird and (somethign else)... for this I brought sack lunches for all the kids and had a chocolate cookie cake (easier to transport)... and then everyone gets a free ticket to the FW Zoo for the day. THey give you ideas for games to play .. it was pretty neat too.
Just a couple of ideas I'd done.
When my son turned 5... he just wanted to get a bouncy house and we did that and a slip n slide and an inflatable obstacle course and had a hamburger cookout...
YOu could have it at a park and do a nature safari / scavenger hunt type thing...