Send out invitations to your party. These can be ordered at the above stores. It will truly get people in the Kentucky mood. Even if you don't order official raceday programs, it might not be a bad idea to copy a list of the horses to pass around to people. This information is available at Call To The Derby Post, and will help involve your non-horse racing fan guests.
Decorations are always a no-brainer.
Since Derby tickets are hard to come by, have everyone compose a letter asking for Derby tickets for next year to send to the folks at Churchill Downs. Hey, it can't hurt. If you're throwing a party, it's the least your friends can do.