We had the little egret's birthday party at Artastic. I liked that they got to do a craft as the "activity" that was also the "favor" the kids took home so I didn't have to a bunch of bags with stuff. You can pick a theme and the craft follows that theme.
We've also gone to parties at Brazos Valley Museum of Natural History and Thunder Elite. For convenience Thunder Elite wins - you bring the cake and the kids and that's pretty much it, and the kids get to run wild. BVMNH was fun because the kids got to see reptiles and other live animals, go on a scavenger hunt in the museum, and do a craft.
I haven't been to any parties at the new Children's Museum location but a friend had her child's there and was thoroughly pleased.
I think a movie theater party, depending on child's age and the movie, could be a lot of fun.
A venue *like* Chuck E Cheese, but with a full bar, would be great (for the parents, obviously).