This is a holiday tradition for us (we even went with our nieces and nephews before our son--now 3--was born). The holiday train exhibit has train exhibits, train tables, a train that kids can ride on, and Santa visits regularly. There truly is something for every child to do/see and it grows with them.
The exhibit is downstairs at the museum center, across from the Children's Museum entrance, either take the escalator or elevator and follow the signs. There is stroller parking in the exhibit, as it gets pretty crowded on weekends (bring a sling/carrier for infants). Admission is free for members or included with purchase of an All Museums Pass or a ticket to the Cincinnati History Museum.