Yes, I second the library for borrowing free DVDs, videos, CDs and books, of course. And our library has great free childrens programs. I also keep tabs on what the surrounding town libraries have going on for kids. Last month we went to a music program at one, and now we're going to Time for Tots every Wednesday morning for stories, songs and a craft - FREE!
Our town has a few conservation areas with walking trails.
Our mall has a play area for kids in the food court, but I second a PP which said she didn't want her kids to think of shopping as enterainment. DS is already in love with french fries and they're right there near the play area. Argh.
We know where all the good playgrounds are near us.
I belong to a mom's club in town which has activities throughout the month, usually free. And we also go to a weekly homeschooling group where my DS plays with other toddlers in a playroom, while I get to talk to other parents.
Playdates are also free and fun, especially if they are at someone else's house. Ha ha!