We just did this for my 5yo ds...I made treasure boxes for all the kids filled with candy and treats and of course fake jewels and coins, then hid them in our woods. We read a pirate story that I wrote featuring each of the kids with a pirate name (violet the vile, Chris the Cruel, Henry the Horrible...) and I inserted some childish antics into the storyline, then it ended with their treasure being lost somewhere. We made a map and dh took them on an obstacle course/scavenger hunt til they found all the boxes, each decorated with their initial. They "walked the plank" over a kiddie pool, did a slip n slide, etc...
I tried the treasure chest cake, but it failed (harder than it looks)--I used the wrong pan, though, my fault, so I bought a cake and topped with candy necklaces and rings and some gold and silver bars (Hershey's).
We got scarves at Hobby Lobby for under $1, and eye patches at the party outlet, bought fabric for sashes and earrings for each pirate :) It was very cute!