Do you happen to live near a natural hot springs? We just attended the best 4-year-old birthday. Our DD was invited to celebrate her friend's birthday at an Inn with a natural hot springs (30 min. drive from our town). Everyone had a great time. The pool was just deep enough for the children to walk around in. They had a blast! The parents were all able to relax and enjoy themselves.
The parents of the birthday girl paid for the children, and managed to work a deal with the owners of the Inn so that parents were $4 each. Each child came with one or both of his/her parents so safety really wasn't an issue.
After swimming, we went inside to the dinning room for cake and gifts. Everyone was so relaxed. The chocolate cake didn't even have its usual effect on the kids
Just an idea if it is even possible for you. Have fun!