Whenever we're stuck in on a rainy day we usually get the painting stuff out, and just have a good old time making a mess with it. We do loads of handprints and stuff. I guess by 10 though, they've really outgrown that. So they can be more serious about their painting perhaps. My seven-year-old has had enough of just messing about with paint, so he has some of his own sketch books that he does his own thing in. Crafts are the way to go on rainy days, for us anyway. Just let them go crazy with glue and paper and feathers and beads and torn up newspaper and buttons and whatever - it's a good chance to let them explore their own imaginations and creativity. I don't interfere too much, just run around with paint and water refills and show them how to do something if they need some specific help. We have stacks of pictures and collages and all kinds of stuff that I really need to sort through - it's become a mountain, and is really rather a pain, lol, but I know that the kids had fun. I'm not particularly artistic myself, so we're not expecting masterpieces - it's just about having a nice time.
Baking is another good thing to do - but you really have to make sure that you don't get hung up about the mess. Let them make mess, and have a good time. It all cleans up once they've finished. I have one child who likes to help me with the cleaning up - he's only 3, so I guess that will wear off in a couple of years!
If we can't be bothered to do crafts or bake, then we just get out masses of toys and all play together. It's more about spending time with them, and talking to them while you play, than what you do. The activity kind of isn't really important, as long as you just spend time with them. Hope this is helpful :)