Believe it or not, you can get some entertainment venues for free. For example, you can often book outdoor pavilions or gazebos at parks, if you book early enough. Of course, you'll still have to arrange for party rentals, food, and everything else.
If you're in charge of booking an entertainment venue, make sure that you take the intended audience into account as well as the location and price. Your guests' kids might think the local water park is a blast, but your older guests might not be amused.