I love the vacuum tag idea!
We like the Wii as well.
We have a homeschool physical fitness book that has some fun indoor ideas.
We rigged a basketball net (or chute, really) out of one of those mesh pop-up hampers. I just cut the bottom out of it. We hang it from a door. That's always fun.
We also have a few yoga books, and they like doing the poses.
Our house has a circular layout, so sometimes the run laps.