Some idea's include...
A deck (or 2) of cards-even a 4 year old can usually play war with an adults help ...take the face cards out if needed and they can tell you which card has more dots, or try to build a house of cards or other games.
coloring books/crayons
blank paper - make airplanes or include safety scissors to make snowflakes or throw a glue stick in too for more craft fun
handheld games- (fast food gave cheepie ones out recently also there are cheep ones available in some stores too)
snacks
flashlight-a must for any child

headphones- even bigger toddlers can listen to cheep headphones.. and one with a tape with childrens songs is even more fun!
backup batteries-for flashlight and any other little electronics included in kit
mini travel size games (there is tiny etch a sketches and other small toys/games found often at walmart or the dollar store CHEEP)
Anything else you think they might like

Kids keeping themselves busy having fun help keep their minds off the storm!
This list is geared towards younger children but can make something more appropriate for older kiddies too!
Edit: My 12 year old insisted I add sidewalk chalk... "it's the best thing to play with outside after the storm while the electricity is still out "