My last milestone birthday was my 40th (in February) but being pregnant I decided to put it off the celebration until next year - 40+1. I will being doing a lovely dinner at a special restaurant (yet to be chosen but I'd like a degustation - something memorable) with just a few of my closest friends.
For my 35th, I had originally wanted to go away to a tropical island for a week's holiday but we just didn't have the money. Instead DH and I hosted a huge tropical-themed party at home. Everyone had to come in costume and we themed the food, cocktails, decorations, music, etc. It took a lot of prep (we both love cooking though) but was so much fun! And lots of great memories/photos too.