If the weather is nice you can go to the park, have a picnic, take a walk around town. All free things. If you have a backyard and some camping gear you can also "go camping" right in the backyard. During bad weather days where you have to stay inside, doing something fun like baking cookies or some kind of craft activity is always good. You can also go to your local library and hang out in the children section especially to get your kids into reading.
Living near a beach or a lake where you can go swimming is always good or the public town pool as well. Also, look into what your town/city offers in terms of recreation. Almost every town I know has a recreation center that offers cheap or even free activities like ballet, basketball, swimming, etc.
There is also your local YMCA which has cheap or free activities for kids.