They do make dance games for younger kids, I think there is a DDR "kids" and also dance games with different characters like Dora. These may be more appropriate. I saw them on Amazon and TRU websites.
Personally I do not find some of the Lego games appropriate for the younger end of your age range. We considered getting an XBox for Christmas and went to try it out with the Lego Star Wars game on it. Even though it is Lego figures, there is still fighting going on and personally I just don't think it's appropriate for a 4 year old and I believe they are all rated E 10+ (everyone over 10).
We ended up deciding not to get a console this year, since we don't feel that there are a lot of games really catering to to the under 6 crowd. But if you already have one, I would suggest sticking with the sports type games or something like a creative art game if you want all of them playing together.
Good luck!