My sister did a lucky dip instead of lolly bags for her sons birthday party when he was about that age. She had 2 boxes, one with girls stuff and one with boys stuff (she told the kids that but let them pick from either, some girls wanted boys stuff but not a single boy wanted a girls one LOL).
Another time we made up a heap of 'treat bags' and filled them with a combination of party whistles, little notepads, parachute men, mini pencils/pens, mini erasers, mini slinkys, etc, all things from the cheap shop (they ahve awesome stuff in the party section), all the bags also had a couple of balloons and a lollypop.
I think the cupcake is a great idea too! Maybe a cupcake to decorate and then a balloon and a small lollypop or other treat as well, stickers or something that fits the theme of the party.
Oh, maybe they could decorate pirate hats! If you haven't already planned that, a hat and a cupcake they have decorated themselves would be plenty to take home.