Honestly, I'd go outside more - just make sure everyone has adequate layers and waterproof shoes and good mittens - go for a tromp in the woods, at a park, through the neighborhood. I am in Iowa, so 30s/40s sounds so very nice and temperate. When our temps are down to under 20, it's not so nice outside.
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Other things we do at least once in winter:
- make food together
- laundry fiesta (dump laundry on the bed, roll in it, and then throw the warm, clean laundry into the air with wild abandon)
- build indoor obstacle courses and run them
- play chase
- hide and seek
- have scavenger hunts in the house
- dance party
- blanket forts
- foam balls that can be thrown around
- bowling game
- put up a play tent in the house
- buy an under-the-bed size storage box, fill it with lentils or popcorn, bury toys in it and/or get some toy front-end loaders or dumptrucks for an indoor approximation of a sandbox (and put a little painter's tarp under it to catch what will get flung out of the box - you can fold it and store it in the box when not in use)
- local museums
- play place at the mall
- public library visits
- indoor putt-putt or bowling alley
- play dates
My friend also has one of these tunnels
, which is a hit.