For my daughter's 5th birthday, I found a local horse farm that was willing to have us.  It was January, so we asked the families that had been invited to dress warmly. We invited whole families on purpose to make it a great way for them to spend time together and come to celebrate our daughter's birthday. When the guests arrived, the horses were tacked up and ready to take everyone on a sleigh ride through the property. It was right out of a movie, with big warm blankets and gorgeous white horses with a red sleigh! For the guests who didn't fit on the wagon, there were ponies ready to go for winter pony rides.  I had also brought along sleds and other winter toys (snowball makers etc..) for the kids to play with while they waited their turn for the sleigh ride. The kids also made their own fun playing in the snow. I had hot chocolate and cookies to snack on. After everyone had a sleigh ride, pony ride etc... we all gathered in the barn's tack room where I had decorated (in a horse theme of course) and had a horse theme cake, ice cream and juice.  We opened presents, took lots of pictures and also got to see the horses that were in the barn. The kids loved it and the parents said it was fun to be able to spend a Sunday afternoon outside, as a family.