Smart Play
Engaging in play has been proven to not only be good for keeping the little ones amused, but it develop their minds, too. I found some sites that offer games, illusions and other unusual fun ideas.
MichaelBach.de: A must see for kids of all ages. Free, interactive visual illusions that even the most grown up kid will enjoy.
Critterwalls: life sized fish and creatures, full sized wall decos. You could turn a playroom into an aquarium.
eBeanStalk.com: These guys have specialist developed toys for varying developmental milestones, and have "series" ideas as well as individual items available.
Craft of the Month Club: A great way to keep them yearning to be industrious. There are really affordable club options here, if finances are something you need to keep a very sharp eye on. There are also some some craft kits here that focus on faith, for partent who are looking for religiously oriented fun.
Yahoo! Games:

A multitude of games that can be played online at no charge, or downloaded at reasonable rates.