Last year I found an incredible family advent study. The five of us did this study each day throughout the Advent season and I was thrilled at what my children learned and even remember a year later. Now, a year later, I am replacing our advent candles and looking forward to doing this study again.
Eleanor Zweigle has written an advent study for families based on the inductive method of Bible study. This study seems to be written toward upper elementary age but Eleanor's daughter in law has drawn some stunning illustrations that can be used as coloring pages for younger children.
Here's is the link. It's quite a lot to print out but definitely worth it. I would recommed printing one copy for each child in your family.
Blessings to you this Advent season!