Miss Manners says (in Miss Manners' Guide for the Turn-of-the-Millennium, page 466):
"Parties for oneself or members of the family are always permissible when they are confined to a group in which each person is honored in turn."
(her suggestion on how to deal w/ the present idea is to not tell people the party is for your birthday until they are actually there)
I don't know that I'd throw an actual event that I'd label a "party" for myself.
But I have said to my 4 closest friends, "I'm turning 25, and I want to celebrate. Would you like to come w/ me to dinner and a comedy club? We'll all pay for ourselves." (and then had to argue a little bit about paying for my own) Maybe that's rude, but I don't know--it didn't feel like it. (maybe I'm stunted)
I could see myself hosting a dinner or brunch to celebrate my birthday--I'd be making the food, etc.
*Maybe* I'd invite people over for drinks for my bday, if I was a cocktail-party-throwing person.
If you can host your own anniversary party (and you can), why can't you host your own birthday party?
Interestingly, my edition of Emily Post says "spouses, children, and sometmes close friends may want to celebrate a "big" birthday..of the birthday person. ..the host or hostess [should] ask for the attention of the guests and propose a toast or salute to the guest of honor"
No mention of parties thrown by the birthday person.
But other than my 40th, I can't imagine my husband, or my kids, hosting anything on my behalf. My MIL does--but it's dinner w/ family, not any sort of time spent w/ friends.