Museums might sound boring to some kids, but a lot of them now incorporate children's programming to serve younger audiences. Children's museums, in particular, make for fun and educational birthday venues. Like zoos, most of them have preplanned birthday packages that can take much of hassle out of party planning. For instance, the Children's Museum of Atlanta can provide museum admission, a tour, a private room for birthday festivities, a guided activity and goodie bags for one price.
You can also tailor the venue to the birthday kid's special interests. A boy who's fascinated by dinosaurs might like a party at a natural history museum, and a star-gazing girl might enjoy an afternoon at the planetarium. Many general interest art museums have birthday options to choose from as well.