Making Ice Castles
Fill small plastic containers (yogurt and drink cups, deli salad tubs) and at least one ice cube tray with water and freeze overnight (outside if it's cold enough).
The next day, set the kids to building — it's like making a sand castle, only colder. (A hot water rinse over the containers will help the ice slip out.) Stack the ice chunks, mixing them up (cubes make great castle-top crenellations). Mist from a spray bottle helps the pieces stick together, or try packing gaps and crevices with snow, if available, for a good seal. Frigid weather will preserve the reign of the kingdom.
For more ice castle ideas, check out St. Paul's ice castles online for inspiration: winter-carnival.com — they've been making them on a grand scale there for more than 100 years.