It will depend on your budget & how many guests.
Many indoor play centres will organise children's parties but the price per head can mount up.
A party at home can work just as well (our hire out a hall for larger groups) with a buffet selection & games (musical statues/musical bumps/pass the parcel/treasure hunt/pin the tail).
When you have a baby, you want to do your best to make every moment of their lives precious and special. It is very easy to show your love and affection when your child is celebrating their birthday. When the baby is going on to 3 year, their birthday experience is usually for the family and friends.