Many of the publishers of religion texts have websites with further activities. Catechetical Resources, put out by the publishers of the Faith and Life religion books, has activities for all grade levels, including instructions for making Advent Wreaths, coloring sheets and study guides.
Sadlier, publisher of the We Believe religion series has Advent activities for all ages.
CatholicMom.com has art projects, coloring sheets, games and even some recipes. They have more under lesson plans. Catholic Advent is an old site and most of the links are bad, so skip them, but try the activities. This site, filled with preschool activities, gives instructions for an Advent Wreath craft and lesson. Here is another Advent Wreath craft, with prayers, and here are different directions for a traditional Advent Wreath.
Most kids love to help in the kitchen and the Catholic Cuisine blog has recipes that carry you through the liturgical year. See what they are cooking up for Advent.
Part of a large site by a Passionist, here are Advent prayers for children.
Sign up for Holy Heros and your kids can get daily emails of Advent activities.
Creighton University reminds parents that the most important thing to do to prepare children for Advent is for parents to prepare themselves. However, they provide several family Advent activities.
Here is the Jesse Tree my family and I are using. We got if via the Advent Calendar featured at the top of my blog.
Of course the most necessary part of celebrating Advent is celebrating Sunday mass with the community. The web gives us lots of resources to help children understand the weekly readings. The publishers of the Faith First religion texts have weekly summaries, discussion topics and activities based on the readings. Sadlier has a similar site. Catholic Mom.com has coloring pages, worksheets, lesson plans, and more for each week. Open Wednesday has a variety of activities as well.