While there are many fantastic online websites for preschoolers, they mostly tend to be learning games with no particular sequence or direction. And I use the concept of "learning" loosely, since many of them are primarily games but involve some educational elements.
I think of education as primarily an organized sequence of lessons which systematically cover a defined scope and sequence. I've been looking around and so far, the best online preschool curriculum with preschool activities that I've found is from Time4Learning. And I quote:
The Time4Learning preschool program combines technology, animated characters, original stories and fun music to inspire a love of learning in the littlest e-learners. ...When they're logged in to Time4Learning, preschoolers won't just sit and watch; they'll laugh, learn, participate and explore. They'll sing along with Ed Mouse on the farm and get up and exercise with a group of kids. They'll yell out numbers to an octopus under the sea and politely help a mountain climber scale Manners Mountain. Children can label their virtual school supplies box and library card with their own name and plan their week with a customizable weekly planner. You'll see smiles and hear giggles that let you know that your children are having fun and when they start talking about habitats and tertiary colors, you'll know it's more than just fun.
For more info, you can check out their preschool website with its demos are ask questions on their parents discussion group.