The four candles represent the four weeks of Advent. Three candles are purple and one is rose. The purple candles in particular symbolize the prayer, penance, and preparatory sacrifices and goods works undertaken at this time. The rose candle is lit on the third Sunday, Gaudete Sunday, when the priest also wears rose vestments at Mass; Gaudete Sunday is the Sunday of rejoicing, because the faithful have arrived at the midpoint of Advent, when their preparation is now half over and they are close to Christmas. The progressive lighting of the candles symbolizes the expectation and hope surrounding our Lord’s first coming into the world and the anticipation of his second coming to judge the living and the dead. (USCCB)
There's a great family Advent activity calendar from the USCCB here, which has a timely suggestion each day for observing Advent.