Fun & Free
Home Depot's "Kids Workshops" are the 1st Saturday of every month. To see upcoming cool projects, click here.
At these monthly events, kids get to build toys or cute things to give to their parents (especially near holidays) like bird feeders and flower pots. When they do the project, they get a certificate of achievement, a work apron, and a commemorative pin related to the project. Whatever project they make, they get to keep it for free. These projects are all made out of wood, and after you're done building them, you PAINT your toy/craft. You end up with a Fire Truck, Race car, or Bird Feeder that looks like it was made in what you'd imagine would come out of Santa's Workshop.
Lowes Hardware has a "Build and Grow" monthly kids workshop build the 2nd Saturday every month. Similar to Home Depot's, kids get to build wooden projects. They also get an apron, goggles, and a patch to commemorate the event.
Check out Lowes' website for a schedule showing the projects each month. You'll also want to sign up ahead of time in case they run out of supplies.
JC Penny has started a monthly event called Kids Zone that occurs the 2nd Saturday of the month. Here kids again get to make a fun craft. Here, in addition to the craft, the kids get a lanyard and commemorative pins as well as a medallion if they complete 6 projects!
Another great spot for free fun is Bass Pro Shop. They always have holiday related fun and activities as well as visits (with free photos) by Santa and the Easter Bunny, and in the summer they have activities like shooting bows and arrow, fishing, and BB guns as well as multiple classes like Car Travel Safety and Fun, Hunting, Archery, Fishing, Camping, and Backyard Adventures. Since their "camps" and holiday events are more sporadic, they do not have an ongoing site devoted to it. Check their website near the appropriate times mentioned above, and they'll have info on their main page. To get an idea of what they usually have and do, click here.
Also, I mention libraries on the "Educational Outings" page and parks, playgrounds, and splash pads on the "Things to do in or near any Town" page...but those things are typically free, so they deserve a mention on this page as well!
Outdoor Movies and Concerts
Towns provide free family friendly movies and concerts for the people that live in or near them. Lots of times, they have local bands but ever so often you can find up and coming, once were, or even currently big name bands.