The Blessed Mother
Catholic Children's Treasure Box, Volumes 7 and 8
These two volumes of the Treasure Box Books contain a very simple story of Mary's life, appropriate for very young children. The full-color illustrations are quite charming. Please note that this story has the marriage of Mary and Joseph come before the Annunciation, which is not in accordance with the actual Bible account. Perhaps the authors felt that very young children weren't ready to understand this part of the story.
The Miracle of Our Lady of Fatima
This is a full length color movie of the story of Our Lady's apparitions to three children in Fatima, Portugal in 1917. It is faithful to the true story with just enough "Hollywood" to make it entertaining and likable even for the little ones. The scene where the three children are interrogated by the government officials might be is a little intense, so I wouldn't recommend having your little ones watch it without supervision. Otherwise, it's a great film for the whole family. My daughter (almost 6 years old) received this for Easter (Thank you Grandma! : ) and absolutely loved it.