Actually, that is kinda true--if I let them hang a sheet outside or (if you have an unfinished room) and put diluted paint in spray bottles . . . or let them put the sheet on the ground and have paint pans there too and let them make a foot print creation--that is good messy stuff.
Recently though, I went to Michaels and bought a bunch of random art stuff that I normally don't have at home (you could probably fair as well with a scavenger hunt around the house). I bought some of the containers to decorate that are a buck, some cloth hats (one baseball, the other bucket style) and will let them paint with fabric paint, Some wooden girl/boy shapes that are connected to a stick. (like unfinished stick puppets). I plan on using that box of stuff when all else fails.
We also LOVE to paint/decorate rocks. Go find a rock, wash, and paint. I let them use acryilics for this since the rocks decorate our garden/porch/yard afterwards. Sometimes they make them into ladybugs or bumble bees, but often, they are just creative masterpieces.
My kids also do plays--but that is more of a daily thing. That and turning on some classical music (our digital piano has several songs built in) and making dances to them. Some were created years ago and they still perform them the same way (one is called the butterfly dance).
Another fun occasional one is with clay or playdoh. Before you give it to them, make a ball of clay/dough for each child and hide beads in them. Let them have a treasure hunt in the playdough and then use the bead to make a bracelet. (You don't have to use beads--anything small will work)
A measurement scavenger hunt (I like to send them hunting). Give child a ruler. Have a list of measurements. Like 1 inch, 4 inches, 8 inches, 2 feet, whatever. Have them find things around the house to put next to each listed measure. So they might find a calcuator that is 4 inches long.
Make those "find it" games yourself. Put rice or other grain in a clear container and hide lots of small objects in there too. Give the list and have them twist and turn the container until they find them.