I remember our first anniversary we wanted to go somewhere but didn't have much money at all. We decided to go on "vacation" to Arlington. We went to Six Flags one day, got a reasonably priced yet romantic hotel on hotwire.com, then the next day we spent at Hurricane Harbor - we used coupons from McDonalds for the Six Flags/Hurricane Harbor to soften the blow on that. This time of year you could nix one of those activites for a Rangers game! It was tons of fun and we actually felt like we were on vacation. We did something right - 9 months later our daughter was born :)
We have also done the stay in Dallas and get a last minute special at a nice hotel. Sometimes you can get a hotel/breakfast special or hotel/dinner special. You can make it very romantic. We would often use hotwire.com - you get super cheap prices, but you don't know where you are staying until you pay for it, however you do get to pick the part of town you want and how many stars and price.
One last thing we do to getaway - this is fun if you like to gamble - we sometimes drive to Bossier City, LA were the casinos are. It is really fun, obviously much smaller than Vegas, but much cheaper too, and the money seems to be easier to win. We haven't been in awhile, but we used to stay at the Diamond Jack's Casino. Now, its not the newest casino on the block, but I've seen much worse. It has a tropical theme, has a casino in the resort, a full buffet which is good, and most importantly a juccuzzi tub in every room! The prices there are better than the other casino hotels too,and if you go you really want to stay at a casino - we made the mistake of just staying the cheapest place we could find the first time we went, and it just was not a good experience. Its a fun trip - a bit more money than staying at a hotel in town obviously, but if you are looking to drive and get away somewhere, this is a fun place. By the way the Oklahoma Casinos don't compare to the ones in Bossier City - its worth the little extra drive :)
What ever you do have fun!