(Fairfax Station, VA)
My son's favorite party during the preschool years was a pirate's party. Every child was given a red or a blue bandana to wear (1/2 of each) upon arrival and got to wear that around his head. All the party games were pirate themed, so we had pin the patch on the pirate ("pin the tail on the donkey") and pirate music for musical chairs.
The best game, however, was "pirates attack." Don't worry everyone was safe, but had LOADS of fun. I pre-made a bunch of "building blocks" by taking empty paper bags and stuffing them with crumpled newspaper. Fold over the top and tape to make a square building block. Each child also got to make one block "on their own" (parental help on folding and taping, of course).
Then each team (red bandanas vs. blue bandanas) used their blocks (need about 10-12 per team...make most a few days beforehand to spread the work out) to build a fort wall. Give each team a bucket of styrofoam balls and let them pelt each other from behind their forts. Boy did they have fun! When the steam starts to run out, declare the game over and have everyone hunt down the balls to put in a big bucket (all done!). Give everybody a prize to add to their "treasure chest" (gift bag).
I continued the pirate theme into lunch by serving fish sticks (always a preschool crowd pleaser). In addition to game prizes in the goody bags, I bought bags of gold (chocolate coins in foil) and found pirate themed goodies at the local party store.