The theater at MSG is a nice venue for theater productions like the recent Peter Pan with Cathy Rigby (wonderful!) and children's fare like Sesame Street Live. Best to get seats close up in orchestra so you can really see all the action. They do let you move to closer seats if no one comes for them. Several years back they had Christmas Carol here and did up the lobby in Victorian towns theme and it was really lovely and they sold nice well made ornaments. Now it has devolved into a circus-type atmosphere with vendors hawking popcorn, cotton candy etc at high prices before the show and during intermission. You are better off bringing your own treats for the kids or buying them nearby at KMart or Duane Reades. They also sell cheap toys and flashlights at high prices. Try also to get discount tickets since regular prices are fairly high. Booster seats available for the asking.