I started down the path of parties every year but then realised pretty quickly that I felt guilty at people buying presents (they get so much!!) and DS1 felt overwhelmed and meltdowns would begin.
My DS2 is also very anxious and hides behind me when too much attention is put on him. He's great with close friends though. It's his birthday this week so we are just going to a water park having hot chip sangas for dinner and a cake afterwards. We've only invited his best friend's family with 4 children.
DS1 last year had a laser tag party with 3 friends and maccas for lunch. The year before he had two mates come for a sleepover. To be honest he enjoys the smaller gatherings much more as really he's not actually 'friends' with everyone in his class.