A Thought That Just Won't Go Away.

[cessna152towser]

I wish you the very best of luck. As a former Secretary and Treasurer of a Highland Games here in the south of Scotland I have to say it won't be easy. Very hard work but if the event comes off you get terrific satisfaction from it.
You need a good committee and willing helpers (Our Committee started off with around ten people and eventually dwindled to just four, but we got a lot of help on the day from our local rugby club members.)
You need to find a suitable venue that can be obtained at an affordable price.
Caterers - A restaurant, a stall selling burgers, haggis etc. If your games are likely to attract enough people the caterer will pay you rather than you paying them to come.
Transport - If the venue is out of town you need to hire a bus/buses to shuttle people to the games.
Heavy Athletics - Here in Scotland you need to offer good prize money to attract a high standard of contestant, minimum prize for last finisher £50, rising in £25 increments. You also need to pay the referee. Though I believe it is easier to find entrants in the USA.
Pipe Bands - Local pipe bands are usually willing to perform for a small fee. Perhaps you could hold a pipe band competition. Here in Scotland these are governed by the RSPBA and you need to register your competition with them, making the cost prohibitive for the smaller games.
Highland Dancing - Hard Work! You need to hire a stage. Then you need someone with a trailer to bring it to the game site. Then it has to be assembled. And dismantled afterwards and transported back to its owner. You need to pay the piper. You need to pay the judges. If you can afford to be generous with prize money you should be able to obtain a good standard of entries. Best to contract the organisation of piper, judges and the contest to someone experienced. There are people who go round the games circuit organising dance contests but, again they will chrage for their services.
Stalls - Stallholders will offer to come and sell stuff and you can name your price, though if you are an established games and can produce footfall figures from a previous year you are in a better bargaining position. Pitch fees can go a long way to paying for the athletics, pipe bands and dancing, but sadly many games have only survived by turning themselves into weekend markets with the games as just a side show.
Lots more things I can think of but need to go right now. PM me if you want any more advice.