What about Serendipity Sam's in Christchurch. My son loved it and it's great place to go if it's raining. You can go on all the big stuff with them but there's loads of ball pits etc for littlies. It's not to expensive.
http://www.serendipitysams.co.uk/centre/index. htm
Or the Sealife centre - not cheap but they'll love the tunnel.
If it's not raining we used to like going to Hengistbury Head, take the Noddy Train to the beach maybe cross to mudeford key on the boat, choose a fish for dinner!
Moors Valley Country Park and the train.
Take them to the airport and watch the planes take off and land my son loved that.