J.J.
Away from the house - parks, libraries, and pet stores are always great for exploring, and free.
At home - dance inside on rainy days (suprisingly BareNaked Ladies has an awesome kids CD that parents can enjoy), find something safe to bounce on (we have an old sofa sleeper mattress we pull out on the floor and bounce on), run and play in the backyard. I'm also a big fan of good old fashioned coloring or play doh. We keep a plastic/vinyl table cloth cover on our table and they boys can spend hours with markers or play doh. Actually play pretend with those "Little People" sets. Put them up and make the people and animals go about their day, talking to each other. Puppets are great too. Oh, and we have a two story house so we play "stair ball" (sit at the base of the stairs and try throwing balls up the stairs and getting them to stop rather than roll down the steps. The one whose ball stops on the highest step wins-though the game gets unorganized frequently but is always fun).
By the way, I have a 21 month old and 3 1/2 year old so I know how hard it is to entertain sometimes. My boys are close in age and it never ceases to amaze me that once I get them started they take over and play on their own. Frequently they create their own silly games. I don't believe in gender separation and my boys play dress-up, kitchen, and help me cook (sprinkle, stir, etc...), don't worry about finding separate activities for the girl and the boy, just find whatever they like.