First, let me say that are some wonderful Advent resources on the web, such as here, here, and here. There are also blogs dedicated to Advent ideas like this one Lindsey did last year here. I certainly can't improve or add to what any of those (and many other) sites suggest. But, that wasn't the question. The question was... what did we do?
When my kids were very small, things were chaotic for me. I was involved in many, many things and had quite a few commitments. I spent way too much time feeling "overwhelmed" when my kids were that age. I bought into the "supermom" myth, big time. (By God's grace, I live much differently now!) I also had quite a difficult situation going on in my immediate family that required much of my mental energy, so those were harder years for me. I see some of the wonderful Advent ideas at the above links and I think to myself that as wonderful as they are, it just might have sent me right over the edge back then to have to make ornaments with my small children everyday, or create jars, or any of the many other creative ideas that are out there. At that point in my life what I needed was... simplicity. I don't remember there being a vast quantity of Advent materials or even "how to" books on the subject at the Christian bookstore, and the internet was pretty new. (Wow, that makes me feel old!)
SO... the answer to the question of what we did when my kids were younger was-- keep it simple. For the purpose of this post I will stick to the topic of what we did for Advent, specifically each Sunday in December. Of course, in the midst of it we read tons of children's Christmas stories, went to story times at Barnes and Noble (where Mommy could get a Gingerbread Latte and let some other nice lady read a story!), made crafts and baked cookies. But at some point when they were very small I realized that we needed to make each Sunday during Advent a little more meaningful, so the true purpose of the season didn't get lost among the rest of the activity.
I went to a nearby Christian bookstore and bought an Advent candle wreath like this one:

I bought some greenery and some angels in the floral department at a craft store, wove some ribbon around it. There are some beautiful pre-made advent candle sets now that I've seen, and you could also simply use four votives around a larger candle. Each year I buy some taper candles, sometimes the purple and pink advent candles (which I bought this year) sometimes we just use burgundy which matches our Christmas decor.
I also picked up a Nativity set that was pretty, but that I wouldn't mind the kids handling. For our advent wreath I arrange the Nativity around the wreath and put Jesus in the middle. Here is what ours looked like last year, which is pretty much what I've done each year:

I bought the middle candle last year at Target, and I like it because it has three wicks, signifying the Father, Son, and Holy Spirit. This year, though, I'm just using a votive holder that has a cross on it... which to me signifies that He came for the cross. See? Each year I do it differently, using whatever I have on hand.
For our "readings" in those early years we used different ones. We used this one (which I just found in my filing cabinet) but there were others. When they were the youngest, we didn't read something or light a candle every night like we do now. We did it each Sunday of Advent and on Christmas morning. We simply read from the readings, read the Christmas story straight from the text of the Bible or from a children's version story book. The main focus was the Bible story. And, each time we read, I would let them hold a different piece of the nativity while they listened. One week they would each hold a shepherd, and we would talk about the shepherds. One week they would each hold an angel, and we'd talk about the angels. (That's why I bought a nativity I didn't mind them handling. I wanted them to be able to touch, feel, and "see" the story as much as possible.)
Over the years as they've gotten older, we've incorporated the Jesse Tree, the Jotham's Journey books, and now the Handel's Messiah Family Advent Reader. But it was in those early years that we developed what I think is the most important Advent "habit" of all... we stopped. We paused regularly and consistently, lit a candle, got quiet(er), and remembered what the season is all about. That's something that I hope will continue for them long after they leave our home.
So, as we begin Advent tonight, it is my prayer that no matter how your family celebrates Advent, you will be blessed by simply stopping and focusing on God's precious gift, Jesus.
Have a blessed Advent!