You've covered a lot of what I was going to say: books, games, puzzles, arts and crafts... but break was always a good time for me to do 3 things with my girls: 1- Taught them how to help out around the house, 2- play 'school' and reinforce what they've been learning, and 3- teach them how to play independently. Yes, you're with them the whole break, but no, you don't have to play together every minute of every day!
Not sure how freezing cold it is there yet, but I still get my girls (6 and 8) all bundled up when the 'baby' (he's 2 today, omg, my big man!!) takes a nap, and kid them out to play in the yard for at least 30 minutes (we're not big t.v. watchers)... we also listen to a LOT of music, specifically Christmas music right now, and sing and dance to all our favorites :)
You could also keep her busy with a 'project'... either she can write a book, once page per day, that she illustrates for something fun she did each day of break to share with her teacher when she returns to school... or, what I want to do with my girls, we're going to do an experiment, and have them wear blind folds and 'taste' different foods, then log which they likes best and why, then let them know what they were eating after the fact. We're big on science stuff ;)
Have fun with it! I always look forward to winter break... then I look forward to their return to school towards the end of these 2 VERY long weeks :)