We have big parties, but DH has a big family and I invite family and friends at the same time.Â
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Usually we have it at our house and I've borrowed a small bouncy thing for the yard or one year I had a face painter lady come in.  We usually theme everything with a color and do ribbons and balloons and that's a big treat, DD really looks forward to putting the ribbons up.Â
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Last year, (5th birthday) we had a make your own pizza party at a local pizzeria with about 20 kids--friends and cousins. It was $10 per kid and then I made them aprons with their names on them as favors and the pizzeria had them make little personal pizzas. It was very cute!  We were having work done on our house, so that's why we went out. I think I spent about the same on our at home parties, by the time you add up pizza, snacks, sandwiches, and drinks that I had to bring in at home.  The pizzeria charged us per child and then I ordered a few more pizzas and two big salads for the parents. I borrowed some games from a friend--she had a bean bag toss that the kids could toss through and also stick their faces through for pix.
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This year we'll have it at home again. DD wants a rock and roll birthday, so I am not sure how we'll work that out, but I suspect I'll have some kind of children's singer here for an hour.
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Alot of my friends like to have parties at places like Chuck E Cheese because then they don't have to clean their house/have their house wrecked/feed everyone...but I found last year that everyone just came back to my house anyway, I had to feed the extended family afterward anyway, and the house got wrecked after the party anyway...so we'll just do the whole thing here from now on.