The past two years my sons and I have done letterboxing while on Jekyll Island for Thanksgiving. The fun thing about letterboxing is that it gets your family outdoors experiencing nature while searching for a hidden letterbox.
The sport of letterboxing involves following clues to find a hidden box which generally has a special stamp. Generally the stamp has been created by the person/people who hid the box. When the box is found, the special stamp can be stamped in your journal to keep track of all the letterboxes you have found. I bought my sons a small photo album for letterboxing which we use with 4 X 6 index cards. We stamp the index card, label the stamp based on the clue title, the location, and then write the date. The box also generally has a small log in which you stamp your own special stamp and record your names. We purchased our "family stamp" from Michaels.
You can find a mulititude of letterboxing clues at http://www.letterboxing.org for locations across the United States. This would make a great Christmas gift for families - you could make up a kit with an album/journal, a compass, and inkpads to get them started as well as some clues printed off for their area.