Very similar - 4th pregnancy and due almost exactly the same time. I have planned lots of activities for this month and next, hoping I can't make them all!
Some ideas (we live in a medium/large town):
Library story time and programs, ours also has pajama time on certain evenings - great when dh works late.
Local museum membership - it is both indoor and out and I can sit and watch them play
Park days arranged with various friends at least once a week, we take lunch and no clean up at home
Town wide events - most are free
town programs? we have many to choose from that are very inexpensive
If you have a group of friends put on your own 'events'. Even just 2 other moms makes a great group - us 3 have and will be doing a water day, ice cream social, tour of local fire department (easy to set-up just call and they are glad to do it and little ones love to climb on the trucks) also build a pinata or just let the little ones finger paint it.
I especially like getting together with other friends/kids as it helps me take my mind off of how I'm feeling. This was especially helpful today as I had a mild case of food poisoning and couldn't keep anything down. Sat in the shade while the kids played in the sandbox (at a park) and though I still can't eat nor feel well the kids had fun and I didn't get stressed trying to keep them out of trouble.
I'm also trying to do my first digital album of the last year and have it completed by the time this little one arrives. As well as catch up on my other kids' keepsake books
Good luck waiting on your little one!!