I have two words for you- SURE START!
Seriously, you need to get yourself on your local children's centres mailing list. Also look in shop windows, nip into any community centres etc and keep a little list in your diary or something of what is on where. For some reason, play groups are generally rubbish at advertising, but eventually you will find loads.
I'm a SAHM to a 3yo and a 6mo, we do a lot of baking (bread is great fun for young children, or even just making a sandwich can be turned into an activity, choosing the fillings, buttering the bread, ect is all very interesting to a young child), drawing, "football" (ie kicking a ball at each other), putting on music and dancing about like loons, reading books, dressing up, singing songs etc. It is also very important to let them just potter about by themselves a bit as well, so make a brew and relax a bit, it's good for them!
I have to be quite strict with myself to make myself go out lots. It all depends on your area, when DD1 was about 19m we spent a lot of time wondering round local charity shops, coffee shops and libraries/art gallieries. I made sure I left the house, if only to the corner shop, at least at some point on most days.
Go to groups, try out a few as they are all different. I try (but don't often manage) to get a good mix over the week. So, in theory, Wednesday sees us doing Story time and busy bodies (really the same group tbh) then the free soft play at the children's centre. Thursday we do DD1s dancing lesson and messy play and Friday it is bouncy castle and stay and play or meeting up with friends. All apart from dancing lesson (£3.50) and bouncy castle (£1.50) are free as they are run by surestart. I am intending on getting DD1 babysat one afternoon so I can take DD2 to a babies only group, atm all she gets just for her is breastfeeding group once a month.
There are groups on at local art galleries and museums that I keep meaning to go to, but they are a bit more of a journey and I never get myself organised in time to get there.
My tip (and I hope it doesn't sound snobby or anything) is to try and limit tv. TV draws you in and you can lose entire days. Don't feel bad if the odd day is a chill out day of TV and relaxing, but try not to get in the trap of spending all day staring at cbeebies or you may find yourself getting too involved in the dramas of 3rd and bird
Oh, and try to make time for yourself. Naptime doesn't HAVE to be housework time (unless that is your "thing"), it can be sitting down with a brew and mumsnetting, or watching trashy tv, or practsing your noseflute. Also, don't let the baby rule everything but equally sometimes try going by their flow-it can be a breath of fresh air!
Oh, and if sometimes the house is a mess, the baby is crying, you are in your dressing gown, the bills aren't paid, and so on, remind yourself, at least you can take yourself, the baby and some chocolate to bed and no boss will be breathing down your neck