We did Kaitlin's 3rd b'day party at a local farm that hold b'day parties. There were pony rides, jumpers, petting zoo, etc. But it was totally expensive. I just did it because I'd also wanted for a long time to have a birthday party for my child, and this was my first chance. So, it was more for mommy...
If you want to have it at home, you can still do a farm theme, cowboy theme (which we did) or something along those lines. There are lots of websites with birthday party ideas, which unfortunately I can't post because they sell things. But you can google on "children birthday party ideas" and probably hit some of them. If you do a theme party, just invite his friends from the neighborhood or family. It gets to be overwhelming, especially when you have it at home. And I would have a parent's stay party. Just me. I like to have the grown-ups there, too.
Good luck!