Create Your Own Superhero
You don't have to bust your budget if you want to do a create-your-costume party. Chances are the kids aren't going to be picky -- they'll just be excited about transforming themselves into crime fighters. Buy some cheap fabric for capes, and think of some way for the kids to personalize them. You could prep the capes ahead of time by ironing on each guest's initials, or just provide laundry markers and paint pens and let the kids go to town. Masks -- either painted-on or the paper-plate version -- are another must, and everything else (belts, armbands and rings, maybe) is just gravy.
For added excitement, transform an empty refrigerator box into a phone-booth dressing room -- the kids can take turns disappearing into it and emerging in a dramatic flash as a superhero!