I have entertained my kids mostly for free, using all the above suggestions. My Sure Start centre had a free soft-play session and toddler group; local church hall had a toddler group for £1; library ran story time and music sessions, plus had computers to play on and free films on a Sunday; museum had a kids' room and, for a while, free art classes. Garden centres are a great place to wander around - especially if they have summerhouses to run in and out of - and pet shops are often good too.
There are various parks round where I live, so we could ring the changes with these. If your kids are older you could borrow someone's (small) dog and take it for a walk. Bus rides were surprisingly good fun for the DCs when they were small. The local boot fair is brilliant - they adore going round and finding something to buy for a pound or so. Swapping play dates is usually good. Scooting to the shops or post office is fun.
At home, baking is a huge hit. I keep meaning to make our own pizza but never get round to it so stick to simple biscuits (they love cutting them out) and cakes. DD1 just learned how to make her own omelette, which she loved. Sticking is great for smaller kids, and cutting too. My LO adores helping - she will happily put the cutlery away, 'dust', or stand at the sink washing up and the best job is washing the windows. Painting is obviously great, as is drawing or colouring in (especially if join in). We print out lots of free colouring-in pages from the internet.
Saturday morning cinema is quite cheap for a special treat. During the holidays our local council run lots of special events for families, which are free, and sports courses, which are subsidised. You can often pick up information about these at the library or local schools.
I always took food out for my DCs, and still do. I also used to take a flask for me. I don't drive so we used to walk everywhere, so going anywhere was a bit of an event.