We've had lots of great holidays, without holiday clubs, self catered in the arse-end of nowhere. But that's cos my husband is quite antisocial and I hate noise, so the thought of staying in a hotel is too much of a risk for either of us.
Our one exception in this has been Eurodisney, which we've visited 4 times now, usually around DD's birthday. She loves it and generally has a ball.
Of all the holidays we've had our three favourites have been a split, Eurodisney/Paris trip which was 10 days and was just perfect. Paris was cool and DD loved the Art Galleries (but then she's 7, so she's the right age for it).
Bordeaux in a gite was a favourite, so we've been there 3 or 4 times, BUT we had friends on the coast, so spent half our time with them and their boys, one a year older than dd, one a year younger.
Lastly, or possibly top of the list if you ask dd, we went to Featherdown Farms over Easter this year. DD Loved it. We sat in our posh tent and watched her playing with other kids and it was great. It was, however, still camping, so was cold at night and in the morning. I wouldn't do it again without a camping heater and a camping stove. T'was murder trying to get the woodburning stove going and it didn't exactly belt out heat when it did. It was heavenly during the unseasonably warm days though.
Things will get better when (a) your kids get older and (b) you match up your expectations with holidays.