There are several options and it depends a little on what you want to do and on your budget.
One option would be exploring Switzerland. As you life close to Zurich that could easily be done from home which means you could spend the nights at home and spend the money safed (meaning not spent for hotels) on other things. Depending on what you've already done you could go to see Lucerne (
http://www.luzern.com/en/welcome.cfm?), the Zoo in Zurich (
http://www.zoo.ch/xml_1/internet/en/intro.cfm), the Technorama in Winterthur (
http://www.technorama.ch/en), the children museum in Baden (
http://www.kindermuseum.ch), the Alpamare in Pfäffikon (
http://www.alpamare.ch). You could go ice-skating in Zurich or Zug or you could "to the mountains" for some walking or to go sledging. There are many option within easy access (even by train). For children I would suggest Braunwald or Elm maybe Hoch-Ybrig or Flumserberg (but check if there is enough snow for sledging). Braunwald has a nice Kinderhotel more info
http://www.maerchenhotel.ch/maerchenhotel/english.php. But note: all these places might get crowded as everyone is on vacation...
Another option would be to go outside of Switzerland. Just walk into one of the Hotelplan (should also offer Migros-Reisen or M-Budget Ferien) or Kuoni or TUI travel agencies they might be able to provide you with ideas. Also Aldi and Coop have flyers with offers.
Enjoy the first holiday here!