Walks in the forest in their rain gear (easy to do if you have rain gear and maybe a big buggy with rain cover), children's play area in the carfour complex, play parks (you can dry them out after) I would recoment either boulancourt or by the town hall in Nemour (nemour one is just the other side of a small road to a climbing area).
There is lots of things in Paris to keep them entertained.
If your staying in a gite than you can do anything with them that you would do at home, the last rainy day we did some cake bakeing (what could be better than cake as a result of a rainy day
), though other things you could do would be drawing or making things with paper.
There are quite a few indoor swimming pools around but you will have to be prepared for the french regulations (no boad shorts and you need swim caps).
I need to check out if the base de loisir is open yet and what they have, I know that they hire bikes, but I havn't looked into if they also hire out kiddy bike seats.
There is also a steam train in Pitiviers but I am not sure of their openning times/dates (I need to check that out).
I have been meaning to check out chateau Landon (sp?) Littleone and grandad have been with their bikes and seem to have had an excellent time.
Welll that's all I can think of for the moment, but I expect I will think of other things, if I do I'll post them.