Ahh, an age-old question! I've faced this problem myself, with a 4-year old and a one-year old. Luckily, my older boy loves board games, drawing, any kind of art project, reading and being read to, and working on his writing (he's learning to write all the letters in the alphabet). For my younger son, it's much more difficult. He's too young for art or for games. His favorite indoor activity is to take all the CDs off of our shelf and throw them on the floor of the den. When my older son was this age, we lived in a high-rise building that had an indoor playroom for children, a great diversion on a cold day and a good way to get him out of the apartment for a while. Unfortunately, we now live in a single-family house without such an amenity, though we do have a basement full of toys. Truth be told, I don't know exactly how we're going to do it this winter. Anyone else have suggestions?
If you do a search for craft ideas on the net there are a few sites that you can pick the age range of craft projects to choose from. Otherwise, my daughter likes coloring, helping with baking, and playing with her toys...she especially likes making pretend food and coffee for you to eat or drink. On warmer days she likes going for walks or playing in the snow or tobagganing...which is great fun exersize for mommy or daddy too...you have to slide down with her then pull her back up the hill....and of course being a little girl...she loves shopping! I think "Shopping" was her second word!
Check and see if your area has a community center. Many of them have play rooms that are free or cost a buck or two to use.
My toddler loves play-doh. I found a kind that is super soft for their weaker hands. Playing with bubbles is fun in the kitchen. Keep up with the coloring, it will kick in one day. I think my son didn't like it in the beginning because he didn't press hard enough and the color barely showed. Maybe try markers, they show up easier. Or if you're brave try paints...maybe water color.
Also, go to your library or book store...there are lots of good books about what to do on indoor days and other books for play broken down by age group! Good luck! I feel your pain...I feel like my 19 month old is trapped! Sometimes we just go to the mall to get out of the house!