If you do Knights, you could find templates of shields that the boys could color, and girls could decorate crowns.
With pirates, you could have them search for tresure in a mini hunt around your home.
I had mentioned the pirate idea before. Gavin got pretty upset as he is sure that is what he wants to do at his party. UGH! Its never easy with my kids! I have talked to Jon about bringing home some large pieces of cardboard and making shields covered with foil. You can get aluminum foil at the $1 store. The boys could then decorate the shields. We are actually having the party in the fellowship hall at our church so we should have lots of room.