It really depends on their ages and interests, but:
Several museums at Plaza de la Cultura (on M?ximo Gomez between Mexico and Cesar Nicolas Pens?n Avenues) including the Natural History museum.
The children's museum "Trampol?n" in the Colonial Zone - on Calle Las Damas. The ruins and Ozama fort in the Colonial Zone are also fun to visit, as is Plaza Espa?a and the old city walls.
There is an amusement park at Megacentro in the Oriental Zone.
Parque Mirador Sur - enormous park with some children's play areas like Las Canqui?as near the intersection between Italia and Anacaona Avenues. Other small Canqui?as adventure playgrounds in different locations around the city. Parque Mirador Sur also has skateboarding ramps. Great generally for cycling, rollerblading, picnics, ballgames, etc.
The Zoo, the Botanical Gardens and the Acuario Nacional.
The Feria Ganadera (on the Malec?n near the Nu?ez de Caceres intersection) has horse riding and farm animals behind the market area.