Pretty much, if you just turn the kids loose, they'll find their own entertainment. My 3 year old grandson lives with us, and he's always coming up with some kind of stunt to keep us laughing. Kids are creative. Let them use their imaginations and do what come most natural to them ... simply play. You don't need to entertain them.
Edit:
Our grandson (3 years old) loves to get a pair of grandpa's winter gloves, his Spiderman stocking winter hat, a pair of over-sized shoes, and a wooden spoon from the kitchen drawer. He uses the wooden spoon as a sword and he's a dragon slayer! (Did I not mention, he's stripped down completely bare and these are the only things he has on? .... he's going through that phase right now... but he's slaying dragons!) Let them have their imaginations! That what separates the consumers from the producers later in life! We let his daddy do the same thing when he was the same age. He's now a computer software developer creating software for computer systems for government medical research. Awesome guy he is. It all started with his imagination!