I have five children under the age of 9, and on Saturdays, when my husband is working, we are stuck in the house because of weather and finances. I want to do stuff together, but there is only one ...
I'm all about free.
Currently, (google this) many areas are offering bowling free for kids. I got a deal through kidsbowlfree.com, they get two games a day all summer long.
Parks: free and they have exercise. Have the older 1 or two cut out letters from boxes you recycle then hide them on the playground for the younger ones to find.
Playdough. You can make it. cheap. my favorite mix is just flour, water, oil and cream of tartar
Chalk. Buy at dollar store. Or make it from plaster of paris, heavy amounts of paint/food coloring and a toliet paper tube (pour in let it get hard, then peel away tube)
magnifiying glasses. (again, dollar store) Have them search out bugs outside and draw pictures
scissors. Especially for the 3-6 crowd, let them go to town on the lawn. Trims the lawn, practices cutting skills
Have your kids learn a new skill: jumprope, hopscotch, climb a tree,
Tye-dye. Easy. Rit Dye, hot water, salt and old clothes. I also use squirt bottles for more direct aim (ketchup or mustard bottles work great)
A lot of theaters have free or sharply reduced movies 1 day a week.
Hide pennies in an area you want cleaned
All the other ideas listed are great.