Well my
favorite and cheapest thing to do is also something I like to do with my girlfriend, but I have to keep this post PG-rated, so that's as far as I will say...
Seriously, I love to read and books are usually about the price of a movie (for new paperbacks) yet will take me much longer to go through (thereby extending my enjoyment for longer periods of time). I also enjoy role-playing games (although now that I'm working, I don't get to do that as much anymore). There used to be a group that I was with whose game master (GM) had actually created the game himself, and so he really focused on the role-playing and story telling aspects. For example, instead of rolling some dice to determine your "stats" he'd actually have us come up with a character concept, and then assign stats and skills to that character we envisioned. Sometimes he'd even adjust the rules so as to fit our concept better. Like when I made this mage character... I wanted that character to have extremely steady and dexterous hands, like a surgeon, so that he could create accurate runes, but because the character grew up with his nose in a book all the time, he was near-sighted and clumsy in any athletic endeavor. So the GM had me split my "dexterity" stat into "adroitness" (which handled anything small that I was doing with my hands) and "athleticism" which handled the actions for the rest of my body as well as anything distance related (like throwing a ball). I was also given a "near-sighted" skill that gave me a boost to seeing things up close and a penalty to seeing anything at a distance.
I also enjoy all sorts of outdoor activities. Living in MN, you're never far away from a lake to go swimming in. Then there's camping, hiking, and cross-country skiing, all of which require a minimum amount of equipment.
When gas was cheaper, I also enjoyed going on long drives to see the surrounding areas. But I haven't done that it awhile now...