Have you ever tried to make a pinata? It's actually really easy. It's just a little time-consuming, and as previously mentioned.... messy.
To make your own paper mache paste, simply mix equal parts flour and water, and then add water gradually, until your paste is about split-pea-soup consistency:
I recommend covering the floor with newspaper :)
Tear newspaper into strips, soak them in paste, and gently squeeze off the excess between two fingers.
Start placing strips on the balloon, leaving the very top empty for filling later. It really does not matter how you configure the strips, but make sure the whole thing gets covered, and that the strips overlap.
Hopefully it's hanging in a safe place, and you can leave it to dry. My experience is that it takes 12-24 hours, depending on the thickness of the paste and the enthusiasm of the pasters. (Ours got pretty well slathered!)
Once it's dry, you'll want to add another layer or two. The number of layers you add will also depend on your paste and your pasters, but three should be plenty. Much more, and you'll have trouble breaking it later!
Once the last layer is dry, choose one lucky kid to POP! the balloon, and you'll have this lovely little shell to fill with (lightweight) treats and confetti.
Tape your hanger (a piece of twine works fine) to a crumpled ball of newspaper and paper mache it over the top to seal it and let it dry. You may need another layer here, as well.
Paint and decorate as desired!
We made one for a Lord of the Rings party:
and here's a pirate
(he took a hit before I remembered the camera):