I second cooking; my SAers love to cook.
Mine also love sewing; there are some great kids' sewing books out now. Some of our favorites are
Sewing School and
Sewing for Children.
Indoors, my SAers favorite thing to do is to go to town in our studio with free access to lots of art supplies and recycled "junk." Good markers, gel pens, blank books, and junk with glue guns are their favorite supplies.
Outdoors, they love playing in the woods or in our mud kitchen.