I didn't want a "hen party" when I got married. Instead I had something I called a "hag night" and combined the men and women friends I had and we all just went to a nice restaurant and had a good meal. No dancing, clubbing etc.
However there are loads of ideas for simple things you could do and it depends on your finances.
1) Camping weekend.
2) Spa or pampering day (you could all book in for a massage)
3) Dinner party at home. Perhaps a murder mystery dinner party to liven things up. You can buy several all girl games, online.
4) Shopping trip or charity shopping trip
5) Pottery painting
6) Pony trekking, or paint balling, or high ropes activity
7) Go on a boat trip together, or do something romantic e.g. a city break to venice
8) Have a wine tasting or make up party.
9) Go to a good fun fair. e.g. alton towers.
10) Go for a ride on a steam train at night, some of the preservation societies do meals at night and you can ride and eat.
11) Go see a play / opera / musical.
12) Slumber party - like when you were kids - videos, pop corn, chocolates, truth or dare.
13) Trip to the cinema.
14) Do a sponsored something like sky dive and raise some money for charity.
15) Go on an outward bound weekend.
16) Mystery bus tour.
17) Visit a casino for the night with a set amount of money each.