E.
If you want to spend a little money there's Thomas the train coming to Grapevine. Here's the link: http://www.dallasrailwaymuseum.com/dowt_main.html
We did this last year with my son and he really enjoyed it. He got to ride on Thomas!! :)
We had my son's 3rd birthday at the Frisco Fire Station #4, the one on Legacy with the helicopter out front. He LOVED it! There was no cost, I just brought my own cake and ice cream and some extra goodies as a thank you to the firemen.
There is also the train museum in Fair Park in Dallas. They even do parties, but I have never been to one.
http://www.dallasrailwaymuseum.com/birthday_parties.html
Another great site for party theme ideas is: http://www.birthdaypartyideas.com/html/party_ideas.html
Good luck!
E.