Im personally prefer Weymouth. lovely clean beach and loads to do. Have an area for water sports if you like that sort of thing. Punch and Judy on beach. Great shops, golf (pitch and put) sealife centre, skatepark, all within walking distance. has a good bus service too. Dinosaur museum and monkey world are a drive away but lots of coach trips are organised from a travel shop over the road form the beach. Also Chessil beach and Portland lighthouse are worth a visit if kids are tall enough to go up it.
Are you camping or caravanning? We stayed in a caravan at The Waterside park, which has lots of entertainment and an indoor pool.(well 3, toddler pool, swimming pool and slide and pool) the use of this was included in the price.