DH and I were once sat next to a Bachelor;s night group in a resturant and couldn't help but hear them... they were pretty conservative as well but they had "sprused up" the menu a bit. They had gotten hold of the resturant menu in advance, altered the names of the meals, reprinted it and then (with the venue's permission) used that on the night. So for example, spaghetti with meat balls was renamed "Ball and Chain" and when they ordered they used the new names.
Whilst out the Hen can open her gifts (if people are doing gifts... just be wary they aren't offensive!)
You could take a trip to an Adult Shop before dinner
You could pay a trip to an adult shop and take a look around for ideas - some of them have good ideas for things like Hens and Bachelor parties... card games etc.
At dinner, each guest could give the Hen a piece of "advice for surviving marriage"

I don't know what else. I chose not to have a traditional Hens function instead spending the night with my closest friends in a nice Motel and pampering ourselves (whilst drinking a tad too much )

HTH and have fun!

MG