I like how creative you're being. Experiences are great gifts. I do want add, though, that you truly should consult with their parents for a couple of reasons: Their folks can tell you what the kids would most like and would actually use; the parents will know, for instance, that Sally can't do anything that only occurs on weekends because she has activity X on weekends most of the school year, while Billy can't do anything that involves a sport because he hurt himself playing basketball and doctor said no skydiving (OK, tongue in cheek there but you get the idea). And you don't want to get a cooking class for a kid who might be able to do a one-time, half-day cooking workshop, but whose other activities would mean that an eight-week cooking class is not going to be attended regularly. And so on. I'm not putting down your idea, which is great! I'm just saying to consult and choose with care since you probably don't know in detail what activities these kids have or what their schedules are like (and preteens/teens can be VERY busy people).
You might even find three or four options and give each kid a choice.
You want to ensure that the experiences will really get used and that a gift certificate for something you chose with care doesn't end up sitting in a drawer because "We just couldn't find a good day for it that worked with our (parents') schedule to drive her there" or "We ran out of time and the certificate expired" etc.
Also, I know your budget is limited, but consider giving them an experience that includes one other person. Some of the things you mention, like skydiving or even some shows or concerts, would require an adult to be present too, which means another ticket; giving a single ticket could mean it's hard for the kid to use it without the family purchasing another one for the accompanying adult. And other things would simply be more enjoyable for your nieces/nephews if they can take a friend along. Pay for an outing for kid plus a friend and you'll be considered the best aunt ever.
This could be as simple as a movie theater gift card, by the way, if they like seeing movies in theatres. Throw in gift certificates for popcorn etc. if the theatre does that. Most chains and independent theatres now offer cards. Rock climbing on indoor walls, with harnesses and instruction, is very popular in our area too, as is laser tag.