N.W.
Check out Midland's web site. I grew up there. There is a spash park down by the tridge. A playground at the tridge, and often free concerts there too. Chippewa (sp) Nature center has programs and great trails (bike and walking). Bay City has a A--- (I can't think of the name-- place you go to look at stars).
Saginaw has a great small/kid friendly zoo.
Dow Gardens in Midland recently added a children's garden, there is a little play structure and water for the kids to water plants (and a bathroom).
Midland also has a great huge playground call the "Fun Zone"