We've done Pump It Up in Elmhurst, which isn't too far and its fun and contained to your own group, but can get pricey. I believe Monkey Island shut down, but not positive on that. That was a chaotic place for a birthday party anyway. We've also done the park district thing, rented the facility at Anderson. They charge $50/hr to use and you can do what you want. MyGym is always fun though, especially for 3 y/o.