While you sit down and watch the Olympics with your family, you can teach your children about each of the countries flags and where each country is on the world map. To us parents, flags don't sound so interesting, but to kids, they have fun picking out the flags of various countries and then figuring out or learning where that country is on the map.
Usborne's Flags Sticker Book contains a flag sticker from every country in the world. It also has maps of the continents so you can show your children where that country is.
As the athletes compete, and their country's flag is shown next to their names on tv, your children will eventually learn where in the world that athlete is from. This is a great geography training tool for you to utilize with your children.