I think it first of all depends on the amount of money you are willing to spend. For me, something simple at the house as a joint party for him and for me!
A friend of mine, though, rented a lodge that is sorta like a bar/restaurant in the main part and a party hall in the back. She had it complete with strippers, contests like who could make the best home-made gift which had to be bachelorette party appropriate (as in naughty!) and could be somehow used at the party or on the wedding night or something. It could be hand-made lingerie or food, just whatever! She also had the ladies have the option of wearing lingerie under their clothes and we had to guess the colors and stuff as a game.
It was a LOT of fun, and then she rented it for the whole night, so that no one would have to drive home because she paid for all-we-could-drink.
That had to have been one of the most fun but expensive bachelorette parties I've ever heard of and definitely been to!
But there are ways to do something similar without all the money!