For those of us whose play time leans towards a full-fledged adventure, the Argo ATV, which is practically a recreational tank, will take you and the family everywhere you want to go. More info.
Take the kids for a scenic winter ride on a kicksled. Maybe you can talk them into doing the pushing on the way back!
An igloo is awesome, if you have the time and skill to build one. If not, try out one of these low-effort snow forts for the kids.
The sno-baller can pump out 60 snowballs a minute without any of them sticking to your mittens.
This may be a gift you regret giving, unless you get one for yourself too. A snowball slingshot will make your next snowball fight a serious battle.