M.N.
The best sprayground or toddler friendly waterpark -
Celebration Park in Allen ( just S of McKinney) has a great spray ground AND a fantastic playground. Frisco Commons park is also great b/c it only has one entrance. Hawaiian Falls in the Colony is a fun water park and they do have a section that's toddler friendly.
The best Chuck E Cheese or like type of entertainment center- I think Gattitown in Frisco is better than Chuck E Cheese. Better food and more games. Peter Piper Pizza is always a hit too. There are 2 location in McKinney. My daughter is almost 7 and she still loves going there.
The best toddler friendly playground- See above
The best toddler friendly mall- I think for toddlers Collin Creek Mall in Plano is good ( there's also a little train in that mall) and Stonebriar Mall in Frisco are the best. Stonebriar just got completely re-done about a year or so ago, so it's not too beat up yet and there's also a carousel in that mall.
We don't really go to McD often, so I can't help you w/ that.
And as for 4th of July- Boomtown in Addison is pretty good, but if you don't want to drive that far, McKinney has a pretty decent show too.
HTH!