First, it sometimes helps to rethink what is fun. Americans tend to think that sometime expensive is more fun than something that's free, and that's not always, or even usually, true.
If you've ever played in piles of leaves with a toddler, then you know exactly how much fun you can have for free.
If doing something physical is your idea of fun, consider walking or hiking, two completely free sports. If you have a basketball, lots of communities have public courts of some sort. If you like to run, all you need is a decent pair of running shoes and a place with sidewalks. Team sports can be trickier, but if you just like to throw or kick a ball around, all you really need is a ball and a friend. Weighttraining---canned goods and homemade wrist and ankle weights. If you just want to be active but can't be on your feet for long, take up juggling, which has the added bonus of entertaining children for hours both while you're learning and once you can juggle.
If you like games, hit the thrift shops and yard sales for "new" ones. Or take up card games; all you need for those is a deck or two of cards. If you like computer games, there are free ones online (though be VERY careful for scams and viruses), and there are also cheap ones that can be played online or off (though those are becoming rarer). Keep playing older games too.
If you like music, singing is free, and so is listening to the radio. I haven't tried it myself, but my kids like internet radio. Movies can be checked out of the library or traded with a friend. Local high schools often put on plays and concerts.