There are 2 zoos nearby at Natural Bridge.  Then there's Natural
Bridge itself.  Claytor Lake is very nice.  But even in August it will
make a man talk in a falsetto voice.  You are also close the Parkway,
and a day trip to the Peaks of Otter will be good, especially for your
children's ages.  You can either hike the 2 miles to the top or ride a
bus.

You will be on the edge of the Shenandoah Valley and there are lots of
things to do.  Harrisonburg and Staunton and Lexington are to the
north.  VMI University is in Lexington as well as the birthplace of
Stonewall Jackson.  Staunton is the birthplace of Woodrow Wilson.
Harrisonburg has James Madison University.  There is also Luray
Caverns.  Huge Limestone caverns with tours.

To the south is Roanoke and Mill Mountain Zoo.  Well worth a day trip
also.  Roanoke is a city of 150,000, so there is a lot to do there.  A
Transportation museum.  Roanoke is the Home base for CSX railroad.  

There isn't any major attractions, like amusement parks, but Google
Virginia and work your way into the site for lots of tourism stuff.  I
live just over the mountain from there, about an hour away.

Chris,

Claytor lake is a pretty nice campground.  My wife's grandparents used to
live right on the lake.  The campground is about as nice as any (I'd say
above average).  We camped there over a weekend a few years ago when one of
her cousins got married in that area.  We live about 2.5 hours north of the
area.

I can't speak to the swimming...we didn't make it to the lake itself.  The
state park website should have some more info.
http://www.dcr.virginia.gov/state_parks/cla.shtml

If you have any dogs to bring along, read the fine print...I don't think
they're allowed in all VA state parks, and those that do charge a per-dog
per-night additional fee.  Crazy...

There's not much of anything right around Claytor lake...it's pretty
secluded.  The nearest town of any size is Radford, about 10 minutes north.
Roanoke is about 30 minutes or so north, and a good sized city...and some
neat things to do there.  http://www.visitroanokeva.com/  It started out as
a railroad town for the Norfolk & Western railroad (now Norfolk Southern).
If you're interested in railroading, there's a railroad museum, as well as
the O. Winston Link museum.  http://www.linkmuseum.org/  Link was a great
railroad photographer...I'd highly recommend a trip to that museum if you
are in the area.

I'm sure there are some activities such as you mention, but I've not spent
enough time in the area to know much about them.  If you like bike riding,
The Virginia Creeper Trail sounds like a blast.
http://www.vacreepertrail.com/  As I understand it, you start towards the
top of a mountain and basically just drift downhill for miles - it's an
abandoned railroad right of way.  It's on my list of things I'd love to do
some day...

If your idea of a fun vacation is a fair amount of relaxing away from the
hussle and bussle, I think you'll enjoy it.  If you're looking for all the
glitzy entertainment, rides, movies, etc...then you're likely to be
disappointed (or spend time driving to Roanoke or such areas).

Hope this helps...if you have any other questions, just ask.

Wesley