The few last hen dos I went to had a good game: ask the husband-to-be 20 questions about his lovely lady (rude, silly or just something significant about their relationship) and then at the party the wife-to-be has to answer them. If she gets a question wrong she has to do a forfeit (at one it was shots, at another it was embarrassing dares). If she gets them right she gets a prize (chocolate or a small gift). Quite funny and sweet - at a close friend's do she ended up in floods of drunk tears about how much she loved her fiance after the game.
ETA: At mine, we went for a gorgeous meal, I got plied with red wine and have never been so horribly drunk (I don't really drink so I was set up for a fall...). No games really, but we met up with the stag do back at our house and played pool in the garden (we used to have a little pool table) and basically just had a mini party. Ach. Really wish there had been less drinking, or that someone had looked out for me, because I really don't remember much of it.