We went to Chessington on nectar points. DH pointed out it would have been cheaper to use them on food bill and pay for Chessington, so we won't do it that way round again. Free shopping for 2 weeks, then blow the household budget on a day trip to a theme park is a very good treat.
Film night with home made pizza is a massive favourite in our house. £3 for a DVD from HMV. £1 for bread mix, about £1.50 for basics mozarella and tomato puree, plus a few veg to chop onto it. Get DC to make popcorn with you in a glass lidded pan, and to help pound the dough and put the toppings on. Then they eat the popcorn while pizzas are cooking. Total cost of evening: around £7 for whole family. The food tastes far better than cinema popcorn and chain restaurant pizzas, and the DC love making it. Also, you get to keep the DVD or swap it with friends.
Have a themed night. Read or make up spooky stories by candlelight, and make weird brews.
Play!!! Nothing makes my DC happier than a long game of hide and seek, or den building in the woods or an exhausting tickle tournament.
£1 for a bag of water bombs and £1-2 for a box of cheapo ice lollies or choc ices = a brilliant day in the garden.
Collect up all your silver and go into town. Watch all the street performers, buskers and living statues, let the DC decide who they'll give the silver to.
Go cycling together. Take treats to have when the DC flag. Stop often to admire wildlife, balance on fallen trees etc. If it's been wet have a competition to see who can get the most mud on their bike and clothes (then another competition to see who cleans the bikes up best when they get home 
)
Treats for grown ups: have your own spa night. Long bath, pedicure, manicure, facial.
Get hair cut for free or almost free by offering your services as a salon model.
Do the same with massage/shiatsu/reflexology students at local colleges. They always need guinea pigs.
If you are near London, sign up for Time Out and Happli offers. I used to feel resentful that we were too poor to go to the theatre or to gigs. Time out has regular top shows and gigs for as little as £10 a ticket. Fairly last minute but if you get a reliable friend to agree to last minute babysitting swaps, it's worth it.
Sign up to find out about great free events. We go on Sky rides (kids get massive goodie bags and freebies) or music festivals, like the ones pre-Olympics. They are everywhere. You just need to keep an ear out for them. Same with local council run stuff. We've done midnight bat walks, tree climbing, clowning workshops etc.
And... hold out for good stuff occasionally. Don't have a cheap bottle of plonk three times a week. Be healthy then buy a bottle of your favourite wine and enjoy it. Decide there's one luxury you won't skimp on. I stopped buying coffees from cafes but always buy very expensive fresh ground coffee in supermarkets. It lasts a week and costs the same as one grande latte.