My Gym and the instructors there provide a great safe place for kids to play and learn and build their confidence. It's a large place, clean, and full of climbing equipment and balls and other play stations that are constantly rearranged and changed. The classes there are composed of short periods of free play interleaved with short periods of guided activities (like storytimes, singing, gymnastics, swings, toys that are brought out, etc). The vibe of the class is very positive, which I like, and as a result the children really learn great social interaction skills too.
You can also host a birthday party there. We went to one and had a great time--good for a stressfree celebration.