You're in the City, so it may be tough but we bring some of his outdoor toys inside. We have the Little Tykes slide and swing set up in our basement along with the basketball hoop and the bicycle. We put playground sand in his red wagon to make a "moveable" sandbox.
Depending on how old your kids are... hop in the train and head Upstate! We have tons of kid-friendly weekend activities that they would enjoy. You could spend the afternoon at one of our State parks and build snow people and snow forts. You could explore the museums (again age-dependent).
Get cooking! My son is little, but during the winter when he and his daddy are inside with me when I get dinner started (and under my feet), I give him jobs to do- stir, mix, pepper grinder (with supervision), but the bowl goes on the floor and he can go to town!
Sock puppets or finger puppets with old gloves and scraps of material/ribbon. Read a story and then have them act-out the story. Catch up on movies, organize your photo albums. My son LOVES looking at pictures of himself as a baby.