My sister recently had a "Knights" party for her 5 year old son. She found some ideas that she used from Family Fun magazine: familyfun.go.com/parties/birthday/feature/ff0607-medieval-birthday-party/ff0607-medieval-birthday-party.html
She also got some inflatable swords from Oriental Trading that the kids got. They also had poster board shields that my BIL spray painted silver for the kids to take and decorate. Oriental Trading also had some knights sashes that she got for each child.
It was really a fun party for the kids...something new and different from going to the gymnastics gym.