We joined the Y and then signed up for a triathlon class. My three oldest (8,10,12 at the time) really enjoyed the classes. It was a lot of fun to train together. We all loved when we competed in our first 5K, 10K then Tri. Now we do things like the Warrior Dash. We also do a 2 mile free family run every first Saturday. It's fun to look at the website and see our time improve.
We live in CO so all 7 of us mountain bike (a lot!) do the incline, ski and hike.
In the summer they have swim and dashes- open water swims followed by a 5K.