In my experience there are not a lot of indoor/winter activities for kids that don't cost something.
A membership to the Please Touch museum is pretty economical. I have a 1 1/2 and a 4 year old as well, who are pretty active and we have problems finding things to occupy them through the winter months.
In the summer, there is a splashy park in South Philadelphia that the kids love:
Herron Park sprayground
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