My son wanted a train party for his 3rd birthday.  We made boarding passes on the computer as invitations that read "All aboard the (last name)express.  Engineer (child name) will greet you at(your address) station at (time). Please reserve your seat at( phone number). We made railroad crossing signs and tracks around the yard for decorations.  The engineer was dressed in striped overalls, bandana,a train cap and had a train whistle necklace. We had an age group from 3 years to 10 years old. Kids got a train hat and bandana as they arrived, a train whistle, and were handed another boarding pass with a number on it (for a drawing later for prizes). We had a train obstacle coarse where the kids had to: dress in an engineer costume(overalls, bandana, boots, and lunchpail), they had to blow a train whistle and say "all aboard!", toss coal into a bucket (charcoal), load up passengers and deliver them to the station (ping ping balls on a spoon emptied into a bucket without dropping them), pass by a water tower (running through a sprinkler), go through a tunnel (made of several large boxes decorated as mountains), over a mountain (climb up and over a double sided pool ladder), and pick up cargo (a stack of empty boxes that were carried to the finish line without dropping).  We timed the kids , and separated them into age groups for fairness.  The next game was a ball toss into a train made up of different sized boxes decorated as locomotive, cars, and caboose. The different boxes had points on them based on how small or large they were (smaller worth more points). We also played conductor says (like simon says).  Our final game was a great train robbery. This was a squirt gun fight where the adults were the train, and the kids tried to soak us as we soaked them back!  The party favors were the hats, bandanas, whistles, squirt guns, Operation Lifesaver items (coloring books, crayons, safety lights and zipper pulls). The Operation Lifesaver items were very inexpensive!!! A representative from Operation Lifesaver came and gave a small lecture on railroad safety.  For snacks we had coal (black jelly beans), sandwiches cut into train shapes with cookie cutter, trail mix, and apple slices with caramel dip.  The cake was a train cake.  To make the cake I baked cake mixes in bread pans and cut them in half horizontally. Each rectangle was made into a train with oreo cookie wheels, licorice string windows, etc.  There was also a locomotive and caboose, made by cutting cake sections to get the right shapes.  The coal car was topped with crushed chocolate cookies. It was a really fun day, and not too expensive to do since we made a lot of it ourselves.