I hate to admit, but we used to. We went so far as to throw TWO parties each time as well. One for family and one for just their friends. Big blow out bashes either at our house or at a public location.
But this past spring, when my daughter turned 8 and my son turned 5, we bought them a huge expensive swing set instead. "No parties" was our stipulation. And you know what? It was awesome. We did little things to make their actual day special, but we did not have any parties. No gifts, no decorations, no goodie bags. And it was so freeing! I didn't hear a single complaint from the kids, either. We might do that again!