Before the story even begins, they have a note to parents at the beginning. It talks about how children love to explore and a little about the story. It talks about some questions they could ask during the story and encourages them to make a map for their child to use while playing and exploring outside.
The Backyardigans was another favorite of mine growing up. It encourages children to use their imagination and just have fun with it. They get together and each take on a role. Usually they are faced with more than one issue, but they work together to solve them.