My wife and I are considering going on a staycation (and vacations in future years) as a Christmas gift to our children instead of buying more cheap toys to fill a house that already has too many. (Our children are 4, 2.5, and 1 years old.)
Another thing you can do is something digital. Consider picking up a copy of Minecraft for each member of your family (once they get older perhaps) and spend a weekend building something cool together. Hella fun and 0 cleanup.