Here are some inexpensive, active games - they assume you have access to a yard or some other outdoor space:
- water balloon toss
- costume relay races
- sack races using old pillow cases
- a version of pin the tail on the . . using a theme your DS likes, such as pin the tooth on the T-rex, or whatever
- musical chairs (you may not like, as it's competitive, but if the kid who just got "out" gets to operate the music the next time it can be really fun for him/her and take the sting out of being out). Don't worry if you do not have enough chairs - you can just as easily use paper plates on the ground.
- a treasure hunt (hide pennies, or painted rocks or something, all over an outdoor space)
For party favors I use brown paper lunch bags. DD stamps something cute all over them, such as stars (you can use a potato or a sponge to make a stamp, plus a little paint in fun colors), then I fold the top of the bag over, punch it with a hole-punch, and tie it closed with a ribbon. You might consider filling it with some bulbs - such as daffodil bulbs that won't get eaten by squirrels - if you live in a zone cold enough for them. Draw, rather than write, instructions on a piece of paper - or write them down but draw pictures alongside - and photo copy so each bag has a set. Kids can have fun planting the bulbs and then come spring will have an exciting surprise. Perhaps include some painted popsicle sticks (a fun activity for you and DS beforehand) for the child to place in the ground where the bulbs are planted, so s/he can go checking for them in the spring.
Another cheap and easy bag filler is some home made cookies, perhaps 3 different kinds.
Hope those help!