I went to Rio de Janiero for the ISER 2006 conference, and brought my family along. The conference was great with a good representation of strong work in experimental robotics.
In Rio we had a good time, althouigh the city is a bit tough and rather grubby. During the conference we stayed in the official conference hotel which was the splendid luxurious Sofitel at the terminus of Copacabana beach (where we had a great view of the bay). Note that Copababana is widely reputed to be overcrowded and inferior to Ipanema or Leblon, but in winter (July) it's fine.
I suspect the best moments in Rio for the kids and I were swimming in the Ocean on Ipanema beach. That was great both for the sea, but also for the excellent view and locale. One night we went to Rio Scenarium, a supper and Samba/dance club. That was fun and after 11pm, when the local Cariocas arrive, it gets very crowded and is a good people-watching venue. Between 11pm and 12pm there is a huge and sudden increase in the number of people there. For potential visitors, it's also worth noting that by 11:30pm there is a very large lineup outside to get in. We arrive around 9pm, got in easily, and had supper there and that's the strategy I would recommend.
Of course, while in Rio we also visited the Sugar Loaf mountain (Pao de Azucar) and the Corcovado (Christ Statue). A very fun activity was renting bicycles and biking the 4km down Copabanana beach (along Atlantic Avenue) at evening time.
Personal security and theft is Rio is an issue. We were careful and didn't travel with conspicuous signs of wealth...
or tourist status, and had no problems. In the end I felt quite comfortable, although one of the conference attendees was robbed in broad daylight at gunpoint. The key issue for those who might visit Rio for the first time is not to carry a camera, wear a watch, wear jewelery or dress in a conspicuously wealthy way. And, of course, stay in well-light safe areas. It sounds intimidating, but it's actually quite easy to achieve and then you can have a pleasant visit.