My reference guide on weddint etiquette is
"The Definitive Guide to Your Wedding Experience" by Peggy Post, great grand daughter in law of the late Emily Post, the be all, end all of etiquette, especially wedding etiquette, she states,
"A bachelorette (hen meaning the same thing, this term is used more in the UK, bachelorette in the US) is very similar to the bachelor party and is given by a bride's female friends. It is different from the bridiesmaids luncheon'.....the guest list may include other friends in addition to the attendants. the basic idea for these events is to treat the groom or bride to one last night out as a single person. The guests are good friends, the atmosphere is relaxed, and there's no reason not to have a great time---so long as everyone is willing to exercise self-control. If alcohol will be served, a designated driver should be appointed or arrangements made.... Whatever entertainment is planned, it should not embarrass, humiliate, or endanger the honoree or any of the guests. It's wise to hold a b. party a week or more before the wedding, so everyone can rest after what will probably be a late night. If gifts are given, they're usually inexpensive and often humorous, and guests should be able to find items that are both funny and in reasonably good taste. B. Celebrations are by no means necessary. No one should be "guilted" or bullied into organizing or hosting such a gathering. Some brides and grooms prefer to skip it altogether, and good friends should honor the couples' wishes."
Therefore, you nor any member of the bridal party are obligated to "throw" or give the b/hen party.
However, if you wish to, since you are the only bm, you could speak with the bride in private and if she wants this party, perhaps she could suggest other friends who would be willing to help host this party or perhaps she might wish to help pay, but in private.
You and whomever is helping you do pay for whatever refreshments, food, etc. To me a nice dinner in a restaurant and then somewhere to have maybe a drink or two or to someone's home to just chill out and have a girl's night out.
Some sites to help you if you do decide to do this:
http://www.hen-party-shop.ie
http://www.henpartysuperstore.com
http://www.henpartyaccessories.com
http://www.stumpsparty.com
There is no need for a theme; however, matching t. shirts or a banner or a tiara for the bride, as seen in the above are cute. Keep it simple, have it at someone's home if funds are limited. Order take out, Chinese or pizza. Have everyone pay for their own. You can word it in a way so that they will know in the invites or speak with them privately on the phone.
So, to sum up, your are not obligated, contrary to public opinion. But, the bride may be under this wrong assumption, so simply talk to her in private about it, if she wants one, she should have to help pay and suggest others that might be willing to help host. Also, her Mother might want to help out, even though this is for single/younger friends.
As to what's expected fun, some games, as in above, but mainly a bunch of women who get together will not need much help, they will each have their own story to tell, the married ones anyway and others will have heard funny, etc. happenings at weddings, so basically it is a night for the bride to just wind down, be single and have fun. The bride will have a chance to be the center of attention and can talk about whatever she wants.
Some questions to have on hand, how did she meet fiance', when did she know he was the one, etc.
Just chill and have a good time.