I used to do weekly field trips with my toddlers... trips to the fire department, police department, quick train rides (just a couple stops down to a neighboring suburb, my kids thought that was a "BIG DEAL". They'd bring a friend and would ride free!!!), going to an animal shelter, to feed the "pets". We have a nice (free) nature center by us (Pilcher Park/Joliet) and they have turtles and other kinds of reptiles, birds and small animals.
In your neighborhood, look around at your smaller business, that carries kidstuff. Many book stores or smaller toy stores may host some free activities (someone mentioned "Barnes & Noble" - they are good for storytime activities and special events), Even places like a sports store (Dick's sporting goods) has a climbing wall for a nominal fee. The Bolingbrook Promenade (outdoor mall) has some outdoor activities planned, this Fall.
Have a picnic and go to a place that you haven't seen before - perhaps like Cantigny, in Wheaton, which boasts some of the most beautiful gardens and they have some kid activities ($5.00 per carload, for parking). http://www.cantigny.org/kids/
Some pumpkin patches can be expensive but Johansen's, in Bolingbrook, is fun and most of the activities are free. http://www.johansenfarms.com/fall.html
Tuesdays are free days at Brookfield Zoo.
Or find a place to pick apples.
Someone mentioned VBS and that is a great & cheap Summer idea for kids as there are so many Churches who host them, each having different themes (Your religious affiliation with their Church is not necessary)
Also, make sure you check with your local Library for free "Mommy & Me" classes. That was always a great resource.
Enjoy!