M.M.
-Watercolor painting
-Playdough (make your own with kids as helpers - just google "playdough recipe")
-Game: Hullabaloo (by Cranium) -- AWESOME for little ones; my son "plays" this all the time even though he doesn't fully get it yet. It has music and directions for finding colors/pictures on floor pads -- encourages movement and learning too
- Wooden puzzles (some have alphabet, numbers, etc.)
- Get some big paper and trace them. They can color in, put stickers on, etc.
- Take them to the local library (check for free events - story times, etc.)
- Look for local indoor pools to go to (our local high school offers really cheap "memberships" - hours are limited but it's a great deal and swimming gets energy out. Local hotels sometimes let you come in and swim too for a small fee)
- Building things with blocks never gets old. Make things they are interested in at the moment - whatever they saw on SuperWhy, make it with blocks, draw it, etc. Continuity and repetition can really solidify new concepts.
Also, don't limit yourself to traditional "play" activities. You can also:
-Involve them in cooking/preparing snacks/meals - good for counting and colors (have them throw a certain # of carrots in soup pot, etc.)
-Involve them in cleaning (mine LOVES to use the Dustbuster and help with laundry! You can have them sort colors, push clothes into dryer, push buttons)
Most of all have fun and enjoy your time with your little ones!