Children's museum or science center

have a "help with chore day" with a reward of a trip to Starbucks for hot chocolate or something like that at the end of the day. I like to make lists and then make it into a race. Gathering clothes hangers is something i hate to do, so i frequently have "hanger races".

make homemade playdoh

make up a scavenger hunt, with clues leading through the house to some sort of "prize"

I third the nursing home idea!

Go to a pottery studio! This is a great relaxing idea. It doesn't cost too much, especially if the kids pick out something small to paint.

Barnes and Noble often have children's events this time of year

Make homemade butter: heavy whipping cream, dash of salt, put in a baby food jar and shake! Eventually, you'll have butter. See if they can make enough to fill up an old butter tub or plastic container of a similar size.

Watch old home movies

Swimming at an indoor facility YMCA)

Perhaps take in a Christmas play or recital; there are loads this time of year

Take some food/supplies to the humane society, and visit with the puppies and kittens. You can call ahead to see if there are some volunteer opportunities.

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These wonderful things are the things we remember all though our lives!