J.B.
My identical twin boys are very close, and always have been. They are still happy to share their party with each other (they're 4 1/2 now). For their first we did something a little bigger, but that was so that I could get away with not continuing to invite everyone from both sides of the family as they get older. We did a luau theme. Cooked out, had a big cake for everyone, then small cakes, one for each of the boys to destroy.
Since then, it's mostly been cake and ice cream, maybe a cookout for just the closer family members.
The big thing is that you do what you want, because you're the one that'll do all the work.