My ideas are not actually twin specific. For their first bday we had a huge barbecue and invited everyone we knew. For their 2nd bday, they were very into dogs (puppies as all dogs are called at my house), so we had a puppy party. I made puppy cupcakes, bought stretchy headbands and sewed puppy ears to them so all the kids could be puppies, bought a puppy pinata (and yes I did question the idea of setting the kids loose to beat on a puppy) and filled it with fruit leather and puppy tattoos and stickers. Off theme, we turned on the sprinkler, filled up the swimming pool and opened up the sand box so we could all play outside.
This year we're having their party at a cabin on the lake so it's a sailboat, water theme. DS loves sailboats and DD loves mermaids, so this theme came easy as well. I think I'll make fish cupcakes this time but am not 100% sure. I bought little wooden boats that are powered by balloons for favors, and we're having a mermaid pinata and yikes it's in a week and 2 days and I'm really not prepared!
I just play on what their interests are at the moment, and go with that. I have a feeling it's going to get harder in a few years, as DD is becoming fascinated with princesses and while DS thinks they're alright I think his future friends might not be so interested. I've heard of parents having separate parties for their twins as they get older, but I don't see our family going that way.
We're going to a twin bday party this weekend, and if that mom has any interesting twin party ideas I'll add them to this thread.