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Although you didn't mention your kids ages.. but those places worth the try at least once..

1- Montazah Palace Gardens would be great for kids.. to run around the trees in clean fresh air and to play with the sand and jump into the shallow water .. it is perfect for all ages..

2- Bibliotheca Alexandrina .. perfect for teens
a) Boys love the "Planetarium" specially if they are mad with science.
b) "CULTURAMA" Cultural Panorama is great for culture and history lovers
c) "VISTA" amazing virtual reality and if they are lucky you may get the chance to log to the CAVE system with more unlimited 3D virtual experience.

3- Arab Academy for science and technology and maritime transport.. in Abu kir they have a wonderful "Marine Simulators Systems" where you live the experience being on a ship in the middle of the sea..to be honest i don't know when they allow normal visitors but you wouldn't lose if you call them to know more info:(+2)0101636211 Ext.: 373

4- Green Plaza & San Stefano Grand Plaza Mall.. great places for cinemas, video games, food courts, restaurants and may be running around the place.

Secret tips:

(i) knock on your neighbor door and ask the women there.. if you are lucky may be she would friendly Alexandrian who got kids and in this case for sure she would offer to accompany you to many places or would guide to other secret places.

(ii) If you use taxi for your transportation; ask the driver about the great places for kids.. at least let him write it for you even in Arabic.. they knew well almost every thing around the city (some of them may be wouldn't understand you or may be don't know good places so don't get bored and ask another one.. try this technique with every taxi you use and you would love the result)

and finally if you like museums and history attraction points beside open air places.. those links show many places to go and give better idea about what Alexandria can offer:

there no clubs in alexandria that u should visit but for the children u have many places to go like the comm above me says