This varies so much by age and temperment that it's hard to answer. In the last two years, my boys' (9 and 11) tastes changed dramatically. They'll eat a wide variety of things -- on the other hand, their friend will eat nothing but burgers and pizza.
Finger foods are good. The pigs ina blanket suggestion is great. Cut up fruit would be good to go with the sub or pizza.
I make BBQ "chicken nuggets" that are good too. You can serve them with some sauces for dipping (depending on the children's ages!) Take a packaged chicken breast and cut it into 3/4"x1 1/2" strips. Crush a bag of BBQ potato chips into a coarse dust. Beat an egg and dip the chicken strips into the egg. Put the dipped strips and the crushed chips into a bag and shake until all the strips are coated. (Both the crushing and shaking are good tasks for kids, even fairly small ones.) Bake in a 350 degree oven until the chicken is cooked (I forget the time, but it's probably about 15 minutes.)
Sauces: BBQ, Bleu Cheese Dressing, mayo, mustard, ketchup
