A cocktail making class before dinner would be fun, or if she's more arty you could do a craft like class like making fascinators or something..
A nice bar/club would be a good end after the dinner, a bit of dancing is always called for I feel!
The best touches are to do personal things like a little quiz (ala Mr & Mrs) that you arrange with her fiancés help, think up a load of questions about him that she needs to answer correctly.
You can also get a few bits of juicy gossip from him and get her to ask multiple choice questions to her friends, ie -
When sis and fiancé were on holiday in Majorca, sis was scared by what?
a) a bee
b) a horse
c) a naked man
(obviously better than that- but her finacé will hopefully be able to provide the goss along with friends!!)
If you don't think it's too much money, it's also nice to buy a present from all the hens, maybe some nice underwear or something? That can be tied in to the quiz, if she gets a question right, she gets to undo a ribbon etc.
Another nice thing I've seen on a hen was a book (hardback with glossy pages) that the MOH got printed, full of photos through the ages that friends and family had provided of the bride- on her own or with friends and family and then her fiancé, it was lovely.