if you can afford it, we've loved stillwater and the resort at indian point. both are condos, so you get two seperate bedrooms, a kitchen, and a living room. The second we just stayed at and LOVED it, it had an indoor pool area with a big pool, a kiddie pool and a hot tub. Very fun.
And we never go down without going to Silver Dollar City. Our resort had 2 days for the price of 1 tickets, which was awesome. We took our 3 year old down the marvel cave, thinking she would be scared, but she loved it and wanted to do it again! (too bad mommy and daddy were too tired!) We also went to the butterfly palace, which was fun but expensive. But it was cool having butterflies land on our daughter. :-)
I recommend not going to the wax museum, the quality is terrible. If you like Titanic, the titanic museum is really neat, although sad. The Ripley's believe it or not museum is also pretty fun.
And there's a Grand Country place with indoor mini golf, an awesome buffet (children under 4 free!) and lots of other fun stuff.
We just got back and we had a great time. :-)