We went through exactly the same thoughts. In fact, when we told our daughter we were going to Mexico instead of Disney World, she was crushed. But after a couple days of having a ball she told us she couldn't wait to come back again.
The resorts themselves have a number of activities each day for the kids. There was a pinata party early in the trip, there were pool games and beach games. My daughter had a good time doing t-shirt painting and painted a couple of ceramic figures. These are nice because when you're done painting them, a staff member cleans them up a bit and adds some flourishes, so even the roughest job comes out looking like a work of art. (I did one, too.)
There was an activity center at the
Royal Caribbean that had ping pong, puzzles, and other things. A couple times they set up a miniature golf course on the activity decks overlooking the ocean. There is a whole schedule of rainy day activities (although we didn't have any rain.)
There are others that I'm forgetting, mostly because we were so busy my daughter didn't do most of them. There were alot of kids there and she made friends that she got to see every day, since everyone is there from Saturday to Saturday. The ocean itself and the beach were great fun for her, and you can get boogie boards, balls, and other sports equipment from the sports desk. (They have bikes, but they were a little too big for my daughter.) There are also tons of activities available in Cancun and the surrounding area.
If you have other specific questions, I'll be happy to answer them. I heartily recommend the trip for a family.