Lowes and Home Depot will give away appliance boxes.
There's nothing you can't do with a refrigerator or stove box. decorate them to make a life-sized play house, have a sleep over in them, take them outside and use as a sled.
making cookies from scratch is way cheaper than buying cookie mix, and the kids get to do a little more. Try a simple sugar cookie recipe and make an icing from confectioner's sugar and water, dyed with food color.
Farms are all having babies this time of year. If you live near a rural area, see if you can spy some goats or chickens or pigs. I've got those sorts of things, and wouldn't mind in the least showing some little ones to my little ones.
Well, its very cold across our country right now so I would suggesting going outside and building a snowman!!!! that costs nothing. If you are fortunate enough to have no snow right now, I always find going to the zoo, or to a park is a nice change of pace. Zoo's are typically only about 5 bucks a person to get into. My family also goes to the dollar movies alot since it is quite cheap.
What our family does for fun on a tight budget is board games like candy land and dice. Little ones can roll one dice each at the same time biggest number wins we play this for hours with our little ones. Playdoh we love molding Playdoh guessing games you make up on your own use your imagination there are so many wonderful rings you can do with little ones that cost nothing. It's when they get older it cost a fortune
Play board games, watch a movie, go play in the snow together, build a snow fort or snowmen make snow angels if you have snow. If not you could go have a picnicking in the park or even your back yard. If you live somewhere that's nice and warm spend the afternoon turning your back yard into a camp ground you could make tents out of old sheets or blankets and trees (nail the blankets to the tree and secure in ground if you can't put it over a branch) make a campfire pit with rocks you don't have to light a fire but if you have a BBQ you could put that inside the rocks and at supper you could roast hotdogs using the BBQ and long sticks and you can toast marshmallowsthe same after supper either tell silly stories or play pass the story (you start a story and after one or two minutes the person on the right takes over the story. Make hand puppets with old socks felt markers or glue