Maybe look for activities or places that offer a variety of activities. For instance, a membership to the science museum is more valuable to us than the Aquarium. There are so many different things to do at the Science museum, but at the Aquarium you're out of luck if you don't want to look at fish on a particular day. Or, I have a pool membership at a local college athletic center. The girls love to go swimming there, but what makes it extra special is that there is a little 'concession center' outside the basketball courts. We pack a lunch and sit at the tall counter tables and make an afternoon of it.
My girls LOVE having picnics when the weather is nice. At 3, DD1 was instrumental in planning, preparing and packing our picnic lunches. I figured we were going to eat anyway, might as well make an activity out of it :)
Can you research thrift or consignment shops in your area? I'm not a huge spender, but sometimes it just feels nice to spend some money on myself and I've had fun browsing and shopping some local thrift shops.
We live near the ocean and there are some nice beaches here. Most of them are way too expensive for us to go to ($25 to park!) but I've discovered that if we go later in the day (4 or 5ish) they have stopped charging for the day. We bring a picnic dinner and enjoy the sunset. I've experienced this at other places as well (wading pool, state parks).
Can you ask family for museum passes for birthdays? (this has never worked for us, but we keep trying!) Some museum memberships also include free or discounted admission to other local (and not local) museums.
Our library has many free or discounted passes to local attractions.
One thing I have noticed with my eldest is that she surprises me at the places she has fun. Sometimes I just have to slow down and look at things differently. For example, I used to rush everyone into and out of the bank thinking that it was just another boring errand. But then I realized that DD1 actually enjoyed going to the bank! So now we take our time (if we can!) and visit the fish tank. I let her write her own deposit slip while I write mine and then she chats it up with the teller. Same goes for the grocery store or post office or window shopping and people watching at the mall. Sometimes I think she has just as much fun doing those things as she does 'kid activities' :)
Sorry for the brain dump! Overall, I think that if you can squirrel away a couple bucks here and there to treat your self once and a while and then do the free stuff with you family that might help alleviate the feelings of deprivation that sticking to a strict budget can bring on.