C.S.
You mention Circus Circus, they actually have an arcade and circus act, as well as the Adventure Dome, which is as close as Vegas gets to a theme park.
There is another arcade at Excalibur and they have a dinner show, the Tournament of the Kings.
Our water park will not be open until May, but if you are familiar with the old Wet and Wild, they are rebuilding it off the strip.
You don't mention where you are staying so if you are near the Flamingo and find yourselves needing to take a nice stroll, there is a bird sanctuary toward the back of the Flamingo. You can get a scoop of ice cream and sit on the fountain wall and listen to the birds.
The TI has an outdoor pirate show and there is also the volcano show in the front of the Mirage (both free).
It is getting hot, so I suggest a little sun hat for both of them and make sure you keep them hydrated. Cotton clothes will be best while walking outdoors.
Here is the website to the red bus tour which is the double decker bus with the open deck on top. http://www.exploringlasvegas.com/kids.html They made it look like a party bus, but I just see regular people in there throughout the day.
The strip has a city bus as well as Max. Here are their sites.
http://www.rtcsnv.com/touristms/images/pdf/StripRoutes-Sh...
http://publictransport.about.com/od/Pictures_Of_Transit/i...
Both are run by Clark County Regional Transportation.
Here is the monorail which is situated downtown.
http://www.lvmonorail.com/ride/train-schedule/
There may be something going on at the Fremont Experience, which also has zip lining available. Here is their website.
http://www.lasvegasweekly.com/events/ongoing/122/
Here are a few other scheduled events:
http://www.lvol.com/lvlc/d_events.html
There is a roller coaster (upside down) at the New York New York and more rides a the top of the Stratosphere.
There are some street performers as you would see in Venice Beach, however, the county was trying to taper that down. I am not sure if they are still out there. As well, don't accept handouts on the strip and let the little ones know not to reach out to the street vendors handing things out. Unfortunately, they hand out vulgar cards/passes and people accept them and then drop them on the ground. Again, the county is trying to get ahold of these vendors, but they are fighting it with freedom of speech. I am not sure where they are with all of this.
I forgot to mention a couple of things. There is the new Children's Discovery Museum. We had one that was a bit run down, but they just opened a new one on Grand Central and Benneville.
There is also the Spring Mountain Preserve off of the strip. They often have different events for the kids, you will have to check their schedule.
Pinball Hall of Fame off the strip. http://www.pinballmuseum.org/
There are the Imax theaters and the Smith's Center you may want to check out.
Have fun.