On rainy days, sometimes the testosterone levels get simmering pretty high over here. As one of our homeschooling activities, I decided to spring for a DVD that would get some of their energy out and teach them a skill, too (particularly one at which I would be absolutely useless). I've got a few suggestions here, but your kids may be interested in different skills. You can look them up on Amazon ([skill name] DVD for kids).
My kids were already attempting "kung fu" moves from Kung Fu Panda, so at my husband's recommendation, I went for this "Kung Fu for Kids" DVD. Verdict: My sons...and even my daughter...love it. You can go to the link here and see if it would be good for your family. It's not fancy, but my kids love learning the skills. The teacher is specific about when to use the moves, when to practice them, and the need to ask for permission to practice, which I like! It also doesn't have any eastern philosophies that I'm opposed to, with the exception that I would define the virtues they speak of in more biblical ways. Now I seem my kids performing actual Kung-Fu moves that look authentic (at least on a six-year-old level).
Since my daughter was now learning martial arts and we're seeking to up the girliness over here, I later purchased this step-by-step ballet DVD for her, which she also really likes. Of course, she grabs her leotard and tutu and shoes to do it up right. I love hearing my three-year-old say "tondues and degages."
Trust me, she's not going to learn any level of coordination from me!