I always try to keep them cheap, simple, and aimed at the individuals interests.
I loved taras idea!
How about bugs and worms for a theme? If sugar is ok, you can make some chocolate pudding, top it with chocolate cookie crumbs and push a few gummy worms partway in. These look great in little cups and with some imagination you can use other containers to look like flower pots or beach pails. Maybe little jack-o'lanterns? Then you could put little plastic spiders around the table, have thekids make those egg carton caterpilars(pipe cleaner antenna and legs, paint with watercolors) or some other bug craft. HOw about pin the segment on the centipede? You could find lots of silly party favors that would fit the theme.
Trucks? Pirates? (Pin the eye patch on...)
Halloween? You could color pumpkins, 'bob' for apples (in a tiny bit of water), eat donuts off a string, the worm pudding still works.
The again, they're three! Bubbles, kites, giant balls, toys are all still magic.
Our local 'Y' rents out the pool for $50. You get the pool (and a lifeguard) for an hour and the party room for another hour. We did that a few times. Squirt guns made great favors, and I made a cool cake with a pool (blue jello) on top with teddy graham 'swimmers'. Juicy Fruit gum made great towels and surf boards.
Relax. Pick something and let your imagination run wild! Have fun!