For that age group, I usually suggest an obstacle course based on the theme and a dance/sports activity also based on the theme. For example, if the party is Star Wars themed, the children can do "Jedi training" and follow instructions from the master. They may have to jump over obstacles, crawl on their hands and knees, pretend to fly and space ship - kids at this age love creative play, and props are always helpful. We've entertained kids for 30-45 minutes with activities like this.
For a more girly theme, princess training works like a charm! They love to learn how to put on imaginary make-up, balance a book on their head, twirl their imaginary dresses, etc.
Don't be afraid to get silly with them - they'll love it!