E.F.
I have done the YMCA parent tot with my kids, and it was pretty good; my son LOVED the water, even as an infant. You may be able to do parent tot with the 2 year old and lessons for the 3 year old (not sure if they start at 3 or a bit older); if you are a member there you can put one child in child watch while the other swims. Only downside is the parking downtown ;-)
E.