Wow, I'm surprised by this thread. I go to parties because they're fun, and that's why I went as a kid. I never expected a gift and still don't. I take my kids to lots of parties (many of them all-ages parties) and would be seriously annoyed if they started expecting or demanding a party favor. Yuck! In my mind, the people coming to the party aren't doing me any more of a service than I am them by throwing the party. I set the atmosphere and invite people I think would like to join us -- some of them show up, eat, drink, and be merry. It's about being together. Not about stuff. No way. That is not okay with me.
That said, I like some of the ideas mentioned above, especially those that involve kids making something together.
I do not think you should feel pressured to do anything extra, though. My family was the odd one out much of the time when I was growing up, and the kids that came to my parties had fun finding little toys, pieces of fruit, or all fruit popsicles at the end of the spider web game instead of candy. They were thrilled when stickers and peanuts came out of the pinata, and they didn't care that we didn't have perfect pink decorations or a pink frosted cake. We ran around and played together and sometimes stopped to eat. Fun.
My dd is younger, but she loves to have sledding parties for her winter birthday. It is great to get everyone bundled up and outside playing in the snow; the kids (and adults) have so much fun.