When I was in college, I took an education class from a professor who always had a hands-on method of getting his point across. One of the many great lessons he shared with us was a powerful way to help your children understand the value of money and how it works within your own family.
Then bring out a poster with the monthly family expenses listed in a large font. Have them count out the bills to "pay" the bills -- mortgage, grocery bill, electricity, water, sewer, insurance, gasoline, car insurance, piano lessons, etc. They will watch those stacks of green backs disappear just like you do every month. When you've paid all the bills, let them count up how much money is left. This just might be the most sobering moment of their young lives, and will help them understand why the $80 tennis shoes or $150 jeans they want might not be in the best interest of the entire family.
If you are uncomfortable using real money, try using Monopoly money or cutting up green paper and writing $20 on each one. But, as you can imagine, it would be much more effective using the real thing.