The Jax Zoo of course, but GO EARLY as soon as they open and plan just half a day, or maybe the morning and lunch.
The ferry trip to Fernandina is cool and walking around fernandina downtown is cool, think St. Augustine, with a more fishing flair.
The MOSH Museum (Museum of Science and History) will keep them buzy with interactive stuff to see and do..
Hannah Park on the Ocean Northside is a neat experiance, and I think they still let you rent horses to ride on the beach there.
The Malls and Shopping are plenty and they are air condidtioned.
Also see what is playing at the Alhambra Dinner Theater. A meal and a live play are always cool.
Maybe a Jacksonville Suns Baseball game in the new Field downtown would interest them. The facility is great, just like a full blown baseball stadium. (I think Jax wants to lure a Major league team someday)
Also check out Guana Tolomato Reserve and the Whale exhibit. It's south actually almost to St. Augustine, but it's only a 15 minute or so drive from Jax Beach, or maybe plan that for the ride home. The girls will love it I am sure and it only takes a few hours to really get the jest of it, of course if the like to fish then the Dam there offers day's of Fishing. It's a really unique place.