The National Roman Legion Museum houses a superb display of artifacts found in the region, as well as having demonstration rooms and the reconstruction of legionaries' quarters. Like other National Museums and Galleries of Wales, entry is free.
Fun for kids is to put on the Roman armors in from of the reconstructed legionaries' quarters. They have a few of them in different sizes so big as well as little kids can do it. Of course adults can do it too. :)
Another thing I love about the museum is that the shop offers a good selection of books for kids that introduce them to the ancient world.