There are several excellent Wisconsin state parks within a few minutes' drive of Wisconsin Dells:  Devil's Lake S.P., Rocky Arbor S.P. and Mirror Lake S.P.   While Devil's Lake is the largest, each offers a vareity of inexpensive outdoor recreation, including picnics, various hiking trails, swimming, rock climbing, and fishing.

If you do make the trip to Devil's Lake, also strongly consider a trip to the Circus World Museum in Baraboo.  The historic displays related to the Ringling Brothers Circus are quite interesting and a good diversion from the glitz of Wisconsin Dells.

There's a little railroad just north of town on Stand Rock Road about 1.5 miles from the bridge over the Wisconsin River. It's called the Riverside & Great Northern where steam trains go through the countryside along the Wisconsin River. You can picnic beneath the trees and tour the shops, and the tickets are reasonably priced.