I am from that area...have you gone, yet? There is a great state park across from a Walmart! Fun stuff and cheap? Get gas before you get there...gas is up to 4 dollars a gallon...
There is a really fun place to take you kids to swim, it's called crab island and it's just under the bridge driving west towards Okaloosa Island. Mexico beach going east towards panama city, you can find a bucnh of sand dollars too!
Just need to know more of that you are looking for.