I originally wrote this on another site, I thought I should update it, and move it over here.
This is both an easy and tough question at the same time. There are a great many things you can do cheaply and even free...but you can be limited by where you're at. I'm going to start with a fairly generic list of things that you should be able to accomplish anywhere, and we'll move on from there.
Lucky for you, being a college student means lots of chances for free activities. Check around campus for starters, and you should be able to find a number of things that you can do for low cost, or no cost.
Even at the local Jr. College you can usually find some type of concert, play, or event happening on campus. Often these are free, or very cheap with your student ID. We have a small art exhibit area, where the art students display their current works, there's a self guided tour of the dinosaur exhibits that run you across most of campus, and we have a small museum with a bunch of animals (stuffed).
Even if you're not into sports, it can get you out of that dorm room! Most colleges and universities have all kinds of sporting events, Football, Basketball, Baseball, Tennis, etc. Students get in free, and you can show your school spirit GO TEAM!. You can also often find intramural teams, and get involved instead of just being a spectator.
Most campuses have open swim times for the pool and weight rooms. If you explore around some, you might also find open times for students to go in and play basketball, racquetball, and other sports type activities. Have fun, meet others, free, and stay in shape, its an all-around win!
We'd best not forget all the sponsored activities as well, are the Greeks hosting a "casino night", dances on campus, speakers (we have a hypnotist show every year here), movie nights... You should be able to find out what's going on by checking with your local "Student Life" department. Some campuses have a "play room" also, with ping-pong tables, pool tables, and a place to hang out and meet others.
Off Campus ideas after the jump!