Go on scouting and guiding websites and look at their ideas for beavers/rainbows which many will be easily adaptable if not already suitable for your younger ones.
Off the top of my head:
Get reams of printer paper so they can scribble/colour/draw to their hearts content you could even make paper chains or snowflake Xmas decorations from the results which I'm sure you'd treasure as memories or even in the years to come (there are also many other ways you can turn kids "art" into permanent family heirlooms
Salt dough ornaments/paper weights (gifts for grandparents?)
Exploring textures - doesn't have to be particularly wet/messy can be just making things from pasta, rice, any materials you have hanging about - cereal boxes, kitchen roll tubes, old magazines etc
Balloon games can be fun this time of year
Old favourites - I spy, musical bumps, pass the parcel but each "unwrapping" the kid has to do something fun like make a silly face,
"Exercises" - little kids need to burn off their energy, clear space wherever you can (I have fond memories of upending coffee tables and moving sofas to clear space in my childhood home to do breakfast telly aerobics!) and get them doing star jumps, running on the spot etc
Chalk hopscotch on the pavement outside your house. (the most unlikely people will also have a go when they walk past!)
I LOVE this