Willow does make a wonderful den but it takes some managing to stop it turning into fully grown trees. Check this site out for how to go about it.
Alternatively you could use several clump forming bamboos planted in a circle and tie in the tops so you would have a tepee effect. I have seen structures made for kids with both willow and bamboo. Both work well but it does depend on how much space you have and how much money you want to spend. Bamboo; more expensive but faster results.
Willow; cheaper but more maintenance and you have to wait a year for it to establish.
Whichever you decide please come back and post a picture. Sure sounds like great fun!