I love Carrie N's suggestin of painting chalkbpard paint on the walls. I remember my parents did that on the side of our fridge and when I was growing up that was the coolest thing ever! I want to do it for my child when she gets old enough but we have textures walls. So I want to paint it on her closet door, which is a smooth texture. They also have glow in the dark pait.
It depends on what your kids are into and if they share the same room. You could always do a boating/ocean room. some idea for that might be to find an old steering wheel (pic-n-pull if you have one) and mount it to the wall. maybe find some old gauges and do the same. You can hang ropes with knots in them (get the cheap kind from home depo) in the corners of the room. Create sails with an old plain sheet, flexi-wire and a broom stick (you can place it near their bed if it can be fixed to the wall for safety). You can paint half of the wall blue and in the blue part place cardstock sea creatures (made by you or purchased) on velro (one part on the wall the other on the creature) on the walls. The child would be able to take the sea creatures down and re arrange them.
You can do the same sort of thing with a car theme, fishing, camping/outdoors, farm, or whatever you can think of. For easy window treatments you can dip dye (using RIT dye) an old plain (white or creme colored) sheet. You can also dip dye rugs, throw blankets, bed linen, etc. I like to find old frames from thrift stores, take out whatever picture it came with and put my own in (like hand made drawings, pictures I took off of calendars, old signs, printed characters from the computer).
If you can't tell, I have a very weird house (alot of which came from garage sales, thrift stores, estate sales and habitat for humanity resell stores). =) Good Luck!