Great question and one we think of often. We have our daughter (4 in March) in dance right now. In the past I did gymnastics, music, swim - they are all fine but what I found was my daughter got more from just playing with her peers then attending a "class". We too thought of TKD I took it when I was a kid and loved it.
I just posted something about a playgroup - sometimes impromptu play and crafts are just as rewarding socially etc as a structure class. I also have created an art appreciation curriculum that I do with Sophia (my daughter) once a month and was thinking of inviting other kids too. We pick an artist and look at the paintings, talk in basic terms of what we like and do not like etc. then do a craft that is themed around the artist or painting. Sometimes I can find a book to order about the artist or I make up a story about the painting. It takes between 30-45 minutes but we have a ton of fun! Once a month I do a tea party with her and we have fun setting the table, using our manners (making a mess) etc.
Let me know if you ever want to join us. Best of luck!