Kids of Courage is a ministry of the Voice of the Martyrs. My kids are a bit young to fully appreciate a lot of the Voice of the Martyrs and Kids of Courage material, but they do enjoy the Torchlight videos from VOM (We have William Tyndale, Jim Elliot, and Eric Liddell).
I recently sat down to look over the materials offered at Kids of Courage and I feel like I hit a jackpot of resources. There are free downloadables of great information about different featured countries where Christians are not permitted to worship freely without persecution. Right now they have free downloadable pamphlets for kids on these countries:
I think my kids (ages almost 5 and 3) could learn some geography (they love maps) and maybe a few simple facts about the area and then we could pray for our Christian brethren in those places together. I think they'd also enjoy coloring the pages in the free downloadables.
If you have older kids (school aged) I think you'd find this site and their downloadables and other resources to be a great oppurtunity to teach your kids about God's world and to pray together for His people. It's a great oppurtunity to discuss with our kids considering the cost of following Christ. There also some neat ideas about things kids have done or made to raise funds or send letters or packages to Christians in persecuted areas.