Are you looking for something more indoors or outdoors? And I am guessing you are looking for something unique to oklahoma/oklahoma city? Also how old are your children?
I dont have any children myself, but I remember when I was younger I really enjoyed my trip to the Omniplex. It is a science museum here in oklahoma city. It was pretty interesting and had a lot of hands on exhibits which the kids would love. Also RIGHT next to the omniplex.. ( you wouldn't even have to drive to a new parking lot if you didnt want to) is the Oklahoma city zoo. You could spend the better part of the afternoon and visit both of them.
Here is a link to the OKC omniplex as well as the OKC zoo if you want to take a quick look. I am sure others might have some other suggestions, but this will get you started.
Science Museum Oklahoma
The Oklahoma City Zoo