Lots of crafty stuff / baking / reading books / building caves from tables & blankets type things (also the occasional DVD ).
It's worth having a look on The Imagination Tree too, but possibly via their FaceBook page - I just went to find the website link for you (usually www.theimaginationtree.com) and it seems to have had some malware attached to it (claiming to be from the University of Utah).
Museums Rinsing around on buses - sometimes we buy an all day ticket and just get the next bus we see and see where we end up (not a good plan when potty training) Bus to town to main library; sand whiches from Boots, park.
My rural-driven-everywhere children think that going on the bus is a massive treat.
I hate crafts and art with a passion, mainly because of the mess afterwards. On rainy days here, with a 3&5 yr old, we go to the library, go to a cafe, go visiting, go to an indoor museum or simply stay in and watch TV, read and they play with their toys. We bake or cook occasionally and then eat what we've made.
I have been know to deck them out from head to toe in waterproofs and either go for a walk along the sea front or go to the local park. The park is usually completely empty which is good, I sit on the bench and get some peace! Once we get back they are more likely to settle and have a play or watch a film.