Since the kids are so young, you may want to consider something like Excaliber. I would think that 4 & 5 year olds might enjoy it. (Although the place is rather worn)...
Whichever hotel you choose, please do some research first. Finding one with a pool open at that time of year will be difficult.
Also...unless your kids are very mature for their age, "O" might be a bit much from a comprehension standpoint. I think that an 8-10 year old might enjoy the show...but 4 seems rather young.
In any case, have a good time.