My daughter wanted a Christmas themed party for her 4th birthday. Since her birthday is the first week of January, we agreed, but focused it more on winter than Christmas. One benefit to the theme was that I did not have to get the Christmas decorations put away before her party.
The kids had a snowball fight. While we live in Michigan, there was not snow the day of her party. We spread tissue paper sheets out around the basement and let the kids crumple them up and throw them around. They had a blast. When they were done, I bagged the paper to reuse in wrapping my Christmas decorations. The following week when I took down the Christmas tree, I found a "snowball" hidden among the branches. I cannot take credit for this activity. We did it last year at a friend's birthday party.
I asked my daughter what games she wanted to play and she asked to play "Pin the Carrot Nose on the Snowman". I made a snowman out of a sheet of white poster with some black and orange construction paper. To make the snowman, I found three bowls/pans of varying sizes in my kitchen that could be laid out on the poster and cut out the three circles which I glued together as a snowman. I used black construction paper to make a hat and cut small black circles for the eyes, to make a mouth, and as buttons. I did not make these perfect circles so that they looked like lumps of coal. I made a bow with red construction paper. I cut two carrots for each child out of orange construction paper.
We played Snowman, Snowman, Penguin, a variation on Duck, Duck, Goose. The children sit in a circle and one child who is "it" goes around patting them on the head saying Snowman and eventually says Penguin. The child who is tapped as Penguin has to chase the child who was it as they run around the circle and sit back down in the penguin's seat. The penguin is then it.
I stocked up on party supplies at the post Christmas sales. At Michael's I bought a large package of foam stickers for $2.40. The package had trees, snowflakes, penguins, and snowballs. For each child, I cut a sheet of white construction paper into rolling hills and glued it at the bottom of a blue sheet of construction paper. The kids loved making their crafts and were creative in making their designs. The only down side of this was that Michael's had their sticker bin outside and it was 12 degrees the night I was there.
Finally, at Target I bought penguin melamine plates and shaky cups for each child. I found them on clearance after Christmas. The kids used them cups and plates for lunch and then I cleaned them and gave them to them as their party favors.
All of the kids seemed to have a great time. They did not want to leave, staying well beyond the time planned for the party. I think some if it had to do with having not seen each other over the holiday break.