My older boy, who is 3, has been to the movies a couple of times with DH, and once with SIL when she was on holidays. I don't mind him going occasionally for a special treat, but it's really quite an expensive outing.
Other things I do with the boys:
- the zoo (costs money of course, but it's great for them)
- the museum
- the library
- picnic outside
- gardening: DS1 (the 3 yr old) loves helping in the garden, so I bought him his own cherry tomato plants. He helped me pot them, and we check on them and water them every day. It only takes a couple of minutes.
- swimming at the local indoor pool
- play trucks with them, or build with blocks
- drawing, painting and playdough (outside activities!)
Their all-time favourite thing, which costs no money at all, is the park. Taking them to the park is the best thing of all - they get out into the fresh air and sunshine, run around, climb, play, burn energy, and I get some fresh air too. I usually take some fruit or something with me to eat at the park.