Ack! I find myself feeling guilty that I don't do a lot with my son. It's been really stressful for me this year, but before we used to do a lot. We used to just do every single puzzle he has and cover the floor with it all (recently had to do all the puzzles in his big puzzle box!), do painting and hand and footprints to make a family picture to frame where I wrote his age on. There's always the old potato stamps!
Sometimes if I was really bored I would get all his toy boxes, tip them out and put every single one of his toys together and have a the room filled with everything ready to play with, like making a little city or something.
We've made cakes, and I've got him craft books with pop-outs to fold and make, and toys that he can make and paint himself. Recently his new thing is going through information books and looking at all the animals as I tell him what bits of their body is what etc. There are some interactive ones that a 4yo might be interested in?
My son is 3 and I got him one with a skeleton and it shows in 3D what all the parts of the body do, with each page you turn it lifts a layer of the body.
Board games and Jenga or dominoes my son likes. We make tunnels and bridges with the bricks for his cars as well.
Or some Jelli-baff... it's messy but they like it! Kinda like that Magic Sand stuff but it's not sand and it's for the bath!
I know it's mind-numbing sometimes being indoors day in and day out with a toddler and having to entertain them 24/7 until bedtime, ha, but you don't need to be constantly doing something with them. He goes to nursery 3 days a week, so sees enough of kids. Even letting them help with cooking dinner or tidying and cleaning gives them something to do. Have a movie night watching Disney/Pixar, any kids films with a load of crap to munch on in a blanket! That is my lazy way of entertaining! 