The first thing that popped into my head was a treasure hunt. I recall my sister making these for me when I was younger. There would be a written clue, which would lead to the next clue, and the next, and so on until you found the 'treasure' at the end.
The only problem with this is that of the group of kids I was dealing with, only one was really old enough to read and understand written clues. So that wasn't going to work.
My first solution was to sketch out a floor plan of the main floor of the house. I hid a bunch of treasure (Pokemon cards) all over and put x's on the map where they could be found. That was better, but even a map was beyond some of the kids.
Then I realized I could just take pictures of the treasure locations with my camera and show them to the kids. That worked perfectly. The idea is easy to implement and enough fun to keep kids busy for hours.
Step 1: Tools and Materials
There's tons of treasure sitting around you right now. The first time I did this I used a stack of Pokemon cards one of my nephews had sitting around. Later at my in-laws I used some playing cards. My son thought it was fun to take some of his small Lego models and break them apart and hide the pieces. Anything relatively small and easily hidden that you've got a bunch of works great. Just in case things get lost in the shuffle you might not want to hide anything important like the family diamonds or grandma's anti-seizure medication.
Step 2: Hiding the Treasure
Just about everyone has some sort of digital camera, be it a standalone camera or something in a phone. As long as it takes decent pictures and allows you to display them it'll work. I started with my digital camera and was displaying them on my laptop (since I was using it anyway), but displaying it on the camera's LCD screen would work fine, too. I also had good luck using my iPhone.
For my 5 year old, I usually have two pictures; one of the general area the piece is in, and one close up. For example, the picture of the window below might be enough of a clue. You can always take a second more detailed shot and hold it in reserve in case the kid comes back empty handed.
You can also adjust just how well you've hidden the item. If you're playing with someone young who can barely figure out you want him to go look in the bathroom, maybe just setting the treasure on the side of the sink is enough.
Sometimes with thin things like cards I'll hide them inside books. Get creative. If the weather is ok this works great outdoors, too.
One of the big pluses of this game is that you can secretly use it to expend your child's energy. I spent ten minutes or so hiding things around my in-laws huge yard, and I got to do that in one big sweep. But when the kids are finding things, they have to run out and back for every single piece of treasure. (Unless you're willing to hand the kid your camera or whatever you've got the pictures stored on. I'm not.)
Step 3: Seeking the Treasure
Show them the first picture and they'll scurry off to find it. If they have trouble, they can always come back to see a closer view of where it's hidden. (Plus they had to make two laps for that piece of treasure, making them more tired.)
Chances are they'll be finished sooner than you would have liked and you'll be kicking yourself for not hiding more pieces in the first place. Save yourself the trouble and hide the entire deck of cards or that whole bag of Scrabble tiles right off the bat, then giggle to yourself when your kid runs down into the backyard for the 17th time.
Play your cards right and you can get your seeker to cover a couple of miles in an afternoon. If they start to run out of steam you can always hide a jellybean or M&M with every few pieces of treasure for further incentive.