Advent is a time of expectation and preparation for the celebration of Christ’s birth. I encourage you to set aside some time with your family to focus on Jesus in these weeks leading up to Christmas. Here are some ideas: Christ the King Presbyterian Church has developed two Advent devotionals you can download here and here.
The Resurgence also has an excellent series of posts on Learning to Advent together.
One thing we do in our home is sing Christmas songs together (I can still manage to play a few on the guitar!) and talk about the words to these songs. I've found that some of them are rich in theology (i.e. Joy to the World).
Whatever you do, make it simple and fun for your kids!