I'll send you over to MoneySavingMom for her great list of resources for Advent activities, Six Free Printables for Advent. It's a resource of 6 printable activities for advent plus a couple of other ideas.
I have to point out my favorite of the bunch though: The Prudent Pantry's Christmas Book Advent Calendar. I love this idea of wrapping 25 Christmas books to read to your children, then unwrapping one a day to read to them. At first I thought this was a little ambitious because I don't own 25 Christmas books (I think we may have 3) . . . but then she mentioned the library! Duh! She has a nice list to pick from. And I'm going to add my 2 cents and say that you can always "re-wrap" a book for later in the month (just have a fill in book for show so it looks nice, then swap it out after you open the repeated book the first time) - children love repetition, so I'm sure they wouldn't mind hearing the same story twice in a month!
My second favorite is the Gum Advent Calendar - genius! Especially for kids a little older than my daughter (who is 9 months). I'm tucking this one away in the archives for when she's older. Growing up my mother always got me one of those chocolate calendars from the store. I loved those! It was so fun to "open" a treat every day of December as we counted down to Christmas.