This is based on personal experience only, and of course every child is different.
2 Year Old
Don't bother preparing games, they are too young to follow rules. What they
like at this age is to run and scream so a bouncy castle is probably
your best option !
This can look more like a friends and family gathering so enjoy the
company of adults while the children all play together, and make sure
you cater for the grown ups too.
A little craft corner with colouring pages and stickers can present the children with a quiet option.
3 Year Old
They are still quite young so they may not be able to play a game with rules, but they will enjoy basic carnival/garden games, pass the parcel and simple crafts.
Don't try and plan too many games though as they will get bored quickly, a few games and free play should work.
4 Year Old
Now it is starting to be a bit more interesting gamewise. Most kids will expect the standard birthday games like pass the parcel or pin the tail on the donkey and enjoy playing as long as it does not last for too long.
Most children can't read yet but a treasure hunt with pictures for clues works really well at this age.
I have attended a few 4 year old birthday parties with an entertainer and although the children enjoy themselves, they don't really seem to follow the whole show so well. They get a bit lost and don't seem to follow all the stories and activities.
5 Year Old
I have noticed a real difference this year: they expect to be entertained from beginning to end !
You have to be prepared for an afternoon packed with activities !!!
Games (lots of them !) followed by lunch/dinner and cake, then free play outside seems to work.
An entertainer would definitely be a good option at this age.
I found they need more challenging games from now on. It's not just the case of having a few party games, they want more of an activity. A treasure hunt or building something should be exciting for them.
I will tell you next year, this is were my personal experience stops !