We did the Pirate Adventure Show last year with our then 5 yr old and 4 yr old sons. It was our 4 yr old's birthday. He was a bit scared, but he was also very tired and cranky and slept through just about the whole show! Our 5 yr old loved it. They took the kids up on the ship during the show and he thought that was just great!
We've also taken our sons to the Medeival Times show. The were only about 1 1/2 and 3 at the time, but they both watched and seemded to enjoy it.
I liked the Pirate Show most of the 2, but they are both a lot of fun.