Here's what I do.
1) I live in a University town, so the local university has baby classes, like Mommy and Me, but not. I sign my daughter up for Baby Swimming & Baby Gym, and I'm not fooling myself that they're for her. Most of these type of programs are flexible enough to let you bring siblings. Check with your local University's phys ed department, the local YMCA, etc.
2) I started a laid-back MeetUp.com group for local moms. We now have about 50 members, and a weekly meeting at the local germ pit at the mall. Sometimes only 1 or 2 moms shows up, but hey, at least we're trying, right?
3) I visit the local public library frequently, and sign my daughter up for Story Time every opportunity. She loves hanging out there, and I can grab a book for my sanity. Plus, they host a really cool book club--last year it was Jane Austen and this year it's Virginia Woolf.
4) I signed her up for music classes. We started with Kindermusik, but a) it was expensive and b) it was way too structured for her. Our local University's music department has a community arts program that does Infant and Toddler music classes. It's mostly nursery rhymes and music games, but since I'm pretty sure I'm tone-deaf, it's great fun for her -- and again, I get out of the house.
5) I visit the local Barnes & Noble for the day-time story time. In fact, my daughter learned to pull up on the train table in the kid's section! :) Your local bookstore should have something similar. It's a great way to meet other moms and find a book club.
6) I audit a one-credit hour class at the University so I can take her to the Very Nice Rec Center (AKA gym) and splash in the pool. Great way to meet other moms! Check your local educational institution/gym for such an opportunity.
7) I joined a local Holistic Mom's Network group (and promptly got myself kicked out at the national level, but that's another story), and when the local leader agreed with me, she turned it into a local crunchy mommy group. Check Yahoo Groups for local mommy groups.
8) I keep track of activities in town with a Sunday subscription to the local paper, periodic checking of the local tourist bureau, state park websites, etc. There are a shocking number of family friendly activities.
When all else fails, in good weather, we just go to the local park and hang out. In bad weather, we go shopping. My daughter has no expectation that we will ever buy anything, but the mall and Target have become places I just let her stretch her legs a little. And me stretch out of the house!!
I checked out MOPS locally, but they're really religious here (AKA fundamentalist Baptist), and I am Not. The Mom's Club here is very active, but they're also only mothers. They wouldn't even let my husband come to one of the monthly meetings to pick up some literature for me! The local childcare co-op (it is a university town, which tends to attract liberals like flies ;) is nice, but it's oddly enough, very pricey. (I calculated it out to $11.65/hr last year)
Finally, I hired a babysitter. I don't leave the house, usually, but having an hour or two to myself 2 or 3 times a week has made all the difference in the world for my sanity!!