You can plan a trip over to Paradise Island/Atlantis while in Nassau, bet the kids would love looking around there, especially the aquarium and dig, its really something else. You can do a ship excursion or get a tour once you get over there by regular taxi or water taxi.
That is exactly what I was going to suggest. You should take the ferry over to Paradise Island, and spend as much time as you can at Atlantis. You will have to pay to get access to the pools and beach, but it is worth it for the experience. They have all kinds of water slides and you can swim in a multi-level pool that is like nothing you have ever seen before. They have lazy river rafting, a nice beach, and an incredible "aquarium". I'm not sure what the cost is but I've heard it's around $25. If you can spend at least a few hours enjoying the facilities, it is definitely worth it.