I think doing things 'out of the norm' is really vital for children (and adults too!)
We have no interest in theme parks so that never really featured in our activities when dc were small so I can't help there plus I don't think they are all that important.
But, providing experiences is important I think, and simple things are usually best.
We did things like:
bake fairy cakes, fill a flask with tea / hot chocolate, make sandwiches and go for a walk in the woods to collect leaves / acorns / chestnuts etc with a picnic lunch
Go paddling in a stream with kids fishing nets and an outdoor snack
visit a museum or art gallery in a nearby town and sign up for any free activities associated there. Or read up about it and just wander through asking questions about what you're seeing
use your local library and sign up to activities there. Read regularly and talk about the books with the dc
Keep an eye out for local carnivals / fairs and take them and buy candy floss etc - ours loved going to a crappy local village fair with their friends when they were little, it was so exciting to them
Visit a castle - again a chance to read up on the history etc knights / battles etc
visit a cathedral and look at stained glass windows
Camp in your own house. Use the garden if you have one, or if not, set up a floor 'bed' in the living room and give the kids torches and turn off the lights and tell stories
A cheap weekend or overnight in a caravan is something kids LOVE doing. We've been lucky enough to travel a lot but one time we had a free night in a friend's mobile home and that is the thing the dc remember best and talk about! It's really exciting to them.
Have a campfire and roast marshmallows and make toast over it
Build a den in the garden or a tree house if you have the means. Or take them somewhere where they can climb trees
Plan a day out to a city you can get to easily using public transport. Make the planning exciting -we're all getting up early to get the bus / train. We'll have special breakfast of (insert chocolate cereal or whatever) and when we get there we're going to visit the xxx museum to look at yyyy and then we're going to the park for a picnic and an ice-cream and to play in the playground and then we're going to find a (castle, church, other landmark that doesn't cost to get in) - make a simple day an adventure using maps etc even if you know the town or city
We always made a big deal of finding out the local food speciality and locating it and trying it - anything from a stick of rock to a deep fried mars bar to a type of bread etc
The trick is to get them engaged and enthused about exploring and enjoying thing with you.
It really doesn't take theme parks or hotels to make that happen.