Civilization IV, in my opinion, is the greatest strategy game ever created.
Unfortunately, due to its slow-paced nature and steep learning curve, it's generally only played by adults and especially patient children or teenagers. If your kids can get into this game though, that's fantastic. They are of a dying breed.
While I do play the game alot, and that alone is educaitonal, I read the included Civilopedia more. Both are very good, I mean, one has Nimoy reading the lyrics to rock music.
This game is about as well made as you will ever find in the strategy genre. It isn't too difficult to pick up and play, but if you want to get good at it it takes a lot of time and thought. Not really much to worry about for kids. On a positive note it might just get them interested in history...or maybe that's expecting too much. Either way it's a great game that will eat up loads of your time. You've been warned. :)