General synonyms:
* Themselves - (Most common and versatile)
* On their own - Emphasizes independence
* By themselves - Emphasizes solitude or isolation
* Of their own accord - Emphasizes voluntary action
* In their own right - Emphasizes individual worth
More specific synonyms:
* Each other - If referring to two or more people interacting with each other.
* One another - A formal alternative to "each other."
Example:
"The children entertained themselves by playing hide-and-seek."
You could replace "themselves" with:
* "on their own" - "The children entertained on their own by playing hide-and-seek."
* "by themselves" - "The children entertained by themselves by playing hide-and-seek."
* "each other" - "The children entertained each other by playing hide-and-seek." (If they were playing together)
The best synonym will depend on the specific meaning you want to convey.