Depending on the age and interests of the children, within the central city area, I would suggest—
Tanjung Aru beach, a nice place for families.
Suria Sabah Mall, lots of shopping, eating and entertainment.
Gaya Street market, if you’re there on a Sunday. The best time is before 9 am.
The Sabah Museum.
Jesselton Point Ferry terminal, where you can take a ferry or a boat out to the little pleasure islands for hiking, swimming, barbecues, picnics, etc.
Further out of town there are various wild animal sanctuaries, diving, the North Borneo tourist train(which may or may not be running, check before you go), beach resorts, Poring Hot Springs, and the Mt. Kinabalu Botanical Garden.