We have enjoyed the guides by Peterson, Audubon, and the little Golden Guides. I picked up several used guides by various publishers for our nature club at Half Price Books for good prices. The main things I look for in a guide are nice color illustrations, easy-to-understand format, and nothing too huge and overwhelming. I like to have them small and simple. You could also check some out from the library to see which ones are a good fit for you and your children.
I sometimes look things up on the internet, but I really do prefer to take a guide with us and make the connection/identification during our nature walks...especially if we're going to a park or somewhere other than our backyard. We sort of lose the moment if we find something we want to identify and then Google it after the drive home, but that's just my own personal preference.
We usually just draw in our nature journals what we've found or spotted, and then label it, date it, and make a note of where we found it and the weather conditions that day.
We've also done some of the Outdoor Hour Nature Challenges over at the Handbook of Nature Study blog. These are really well done, and we've enjoyed them. I hope to do more of them this year.
Have fun enjoying nature with your kids!