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My birthday is in January and I've come up with a number of creative ways to celebrate it. One year we rented an ice skating rink at the local park and recreation department and had an ice skating party. If there's enough snow on the ground, you might want to think about taking your party over to a sledding hill. I did that one year. Prior to that year, I hadn't been sledding since I was a kid and I had forgotten how much fun it can be.
Of course, if you don't like the cold, you can have any number of party themes with an indoor party.