A few rolls of crepe paper go a long way and are always impressive (especially to a group of 4-5 year olds).
I used lots of the ideas that people suggested a while ago. We had the Queen of the Fairies visit our party and grant each girl a 'talent'. She and Minnie had special wings that we made together. For each girl, we made a no-sew tutu that they got to take home with them. They're surprisingly easy and inexpensive, check out the video tutorial here.
I keep trying to find good pictures of her cute wings but these are all I have. Oh well, the party was a hit and we had tons of fun. Thanks everyone who came!