Phoebe at Cents to Get Debt-Free has a post listing lots of ideas for frugal family fun. Here's a few of my ideas:
1. Turn a necessary trip to Wal-Mart into a fun trip! We usually visit the toy department first, just to get it out of the way. The older kids just like to look and we usually get the baby a toy to play with while we shop. Any toys we borrow while we shop we deliver back to their homes before we leave so they'll be there for next time (and so I don't have to buy them!)
2. While strolling around Wal-Mart we sometimes have contests to see which child can spot certain items first. If I have spare change, I award a dime or quarter to the winner of each round and they can spend their money in the check out. That's an inexpensive reward for a good shopping trip.
3. Today as a frugal family trip, we went to an indoor waterpark. It cost us just $16 for our whole family to get in and we got a whole day of fun! The icing on the cake was that everyone was exhausted and napped very well.
4. Finally, our favorite family fun is to go bike riding. We live near a pre-school with great play equipment. If we go in the evenings, the local marching band is practicing on the adjacent football field and we get to listen to them play while we play.