1. Take them to see lights in your town-- most towns have some sort of light display. Stop for hot chocolate and donuts afterwards.
2. Attend a performance at a church as a family. Many churches offer free musicals/plays with talented musicians and performers.
3. Plan a different goodie to bake with them each day. Buy a Christmas Cookie cookbook or peruse websites for recipes. Post a list on the fridge of what you're going to bake each day. Involve them as much as possible. Then make a production out of packaging the goodies really fancy and taking them to neighbors, friends, pastors, etc. Kids love to deliver goodies to neighbors!
4. Find one easy craft you can do with them. Years ago we glued little balled up tissue paper to cut out circles from paper plates to make wreaths. It wasn't hard or terribly messy, and the kids loved it. Find something like that you can do.
5. Take them to see Santa. Go out to lunch afterwards.
6. Go to the dollar store and let them pick out something for each family member. Let them wrap the gifts and put them under the tree.
7. Check out Christmas books at the library. Read them aloud. The Best Christmas Pageant Ever by Barbara Robinson is funny and will take you a few days of reading to get through. Well worth the read if you haven't read it! (I have a list of our favorite titles in my Christmas ebook, A Recipe For Christmas Joy.)
8. Try to find a live nativity to visit. Come home and read the story from the Bible.
9. Check your local library or community center for special craft classes or activity days they are having for kids. These are usually free or have a small fee.
10. Get some families together and go Christmas caroling. Involve the kids in selecting the songs, making a special snack and a pot of wassail to come home to.