Are the shows free?
Shows in the parks are all free.
What is the weather like in Febuary?
Expect highs in the 70s and lows in the 50s. Most days will be sunny, but rain can unexpectedly arise on any day in Florida.
What parks are good for a 6 year old AND a 3 year old?
Be careful with young children - they will rebel if you try to pack too much in to too short of a time. Train them well beforehand by explaining to them what you plan to do and how you expect things to work. That being said, small children will probably enjoy MK the most. Most attractions at the other parks tend to be geared toward older kids and adults.
Are there a lot of rides for them?
MK is the only place with a large number of rides that are good for small children. At Epcot, small children will largely find the offerings either boring or too intense. MGM has the same problem for little ones. AK has a few things for little ones to do, and they're likely to enjoy the Kilimanjaro Safaris.
Is there anything we should avoid?
Small children are clearly not good candidates for the roller coasters, since most 3-year olds will not make the height requirements. Your 6-year old may well love riding the MK mountains - I'd start off with Goofy's Barnstormer, and if that goes well, BTMRR, and if that goes well, then move up to Splash Mtn and Space Mtn. However, if there is no one to watch the smaller children for you, I would avoid this and try sticking to the calmer rides. If you have someone to watch the kids, ride with your 6-year old, and use the baby swap option to let the other adult ride as well (and your 6-year old gets two trips for one wait!)
Further advice for MK touring with small children is available on this site. I would link it for you, but I do not have enough posts yet to qualify for posting URL in my comments. (I guess I would be more trustable if went and posted a bunch of me toos instead of a few thoughtful comments.) Anyway, go to the main forum page, click on "CLICK HERE" under "Theme Parks Attractions and Strategies", then click "Planning with Kids" about halfway down the page, and look for help there.
In the other parks, watch out for Mission Space, Tower of Terror, Dinosaur, and Rock 'n Roller Coaster. These rides are intense and primarily intended for older children and adults. You may let your 6-year old try them, but you'll need to use very good judgment. If the 6-year old couldn't handle Space Mtn, then NO WAY on RnRC! Dinosaur is an intense ride in the dark, and may easily frighten your 3-year old, and your 6-year old as well. Also, many small children are frightened by the repeated sudden images of the witch in Snow White's Adventures.
Is there any advise you wish you would have gotten for your first trip?
1. Definitely get the latest version of The Unofficial Guide to Walt Disney World. There is invaluable advice here on everything related to WDW. My one caveat is that they seem to be somewhat picky about restaurants and have a bias against buffets and AYCE affairs, so I wouldn't take their advice on dining at face value. They will have TONS of advice for touring WDW with small kids.
2. If you have a car available and you're not looking for a "Disney immersion" experience (which is a lot of fun), there are numerous good restaurants available offsite, and many provide a much better price for equally good food.
3. Make sure to take frequent breaks, and I recommend leaving the parks for naptime each day (from like 12:30 to 3:30). It's no good trying to cram a vacation and winding up tired and cranky - a sure way to kill Disney magic and fun!
4. Arrive at least 45 minutes before opening time with tickets in hand when going to a park. This will guarantee your getting to enjoy the attractions you want without a 60-minute wait (which will likely happen by noon on Winnie the Pooh and Peter Pan's Flight!) This will also allow you a fun 3 to 4 hours in the morning, followed by a nice rest, and then the last few hours at the park.
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Have a great trip, and keep the emphasis on having fun rather than getting stuff done! It's going to be a challenge if you're taking three little ones by yourself.
Tim