I did every year from ages 4-11, but only because I enjoyed it at least as much as the kids did. After age 11, I am with Dave Barry: "There comes a time when you should stop expecting other people to make a big deal about your birthday. That time is age eleven."
From age 3 and up (so far) we have, but we cut the number of kids down to the ones we know well, since at my older child's 4th birthday party the ENTIRE pre-K class plus parents and siblings, showed up (only half RSVPd)! Thankfully we rented a big pavilion at a county park, but there were about 80 people there and we were expecting 30. Hello, Dominos? lol This year for both kids we've just invited 2-3 good friends plus their parents/siblings, and it has worked out nicely.
Themes can be expensive if you go all out, but I've learned to cut back on the doo-dads (a few balloons, streamers, tablecloths and some of the items in the goodie bag are all you really need to see of Dora or Spiderman, the rest can be generic)!
The boys may have a friend or two over for a sleep over or go to dinner and a movie.
We don't have extended family nearby, so we have never had a "family" celebration outside the four of us. We do have a "Happy Birthday " Arthur banner that I bought when ODS was 1 that we hang in the kitchen window for everyone's birthday and we have cake. Everyone gets a few presents on his/her birthday.
Nope...we don't *do* parties, lol.
My dd13 had one last year...invited a few friends over, played a couple of games, one stayed the night.