This is the ultimate question, or should I say whine, that you will hear from the family if you don't PLAN AHEAD. Then you will spend the whole night trying to decide what you can do instead of actually     doing anything.
Take my advice on this one, we have done it!
After making the above mistake, I decided to plan ahead. I gave each family member, with the exception of my two year old, an index card and a pencil. I told them to write down what they would like to do as a family. I explained that it had to be something that didn't cost that much and it couldn't be out of town. The results were wonderful! I then took the index cards and folded them in half and put them in a basket. The night before "Family Night" we would get together and the kids took turns each week to pull out an index card. Whatever was on the card is what we did for the next "Family Night".

The above index cards worked wonderfully! 
The activities my family listed were inexpensive and could easily be done on short notice.
They were;

• Buy stuff to make homemade banana splits at home.
  
• Play a board game - we purchased Life, PayDay and Bingo to start.
  
• Rent a family movie and make popcorn
  
• Read a classic novel together- like "The magicians nephew" by C.S. Lewis (requires several weeks)
  
• Go to an Ice Cream shop
  
• Go watch the Sun set on the beach - easy to do here, we live in Florida.
  

These activities can do double duty!
For example: Board games are not only fun, they can also help a child learn math and reading. As well as taking turns, sharing  and are a great way for everyone to learn     PATIENCE! Trust me, I did.