Please note that our visit was after Labor Day so it was not crowded and there were very few children about. Hike the trails. Airport Loop and Devils Arch are both awesome. Visit Flagstaff and the San Francisco Peaks, but do not stop at the Chinese buffet on Milton Street.
Visit Cottonwood and Jerome, which are only 20 and 30 minutes west of Sedona. Visit Red Rock State Park, Slide Rock State Park, and the Grand Canyon if you have time (about 2 hours northwest).
Quick Tips:
The Chamber of Commerce is usually a good place to pick up coupons, but they cater to the more expensive tourist-type restaurants. Also, there's a very nice outdoor mall called Tlaquepaque. You can get coupons on their website.
Best Way To Get Around:
Fly into Phoenix and rent a car. Car rentals are off the charts in Sedona and more costly in Flagstaff, too. If you go to the Grand Canyon, go early and park your car. They have free shuttle buses