If it's just your immediate family and there are kids involved, it can be fun to spend time together cooking a meal, or making crafts or gifts for others. Those sorts of activities teach kids skills and help them learn to give to others. Even cooking a family meal is a way to teach responsibility to those you love.
When my kids were growing up, we used to have the best time going inner-tubing on a river near here. We had our own beat-up inner tubes, so we would load them into the car, along with a picnic lunch and spend hours drifting down the slow currents and watching the fish and turtles swim under us. It was cheap, we enjoyed it together, and it's still a good memory today. We also went to outdoor concerts and musicals, which were free at local parks.