J.C.
It greatly depends on where you live but if you're on the South side of MKE I've got some great things for you to do!
Check out the Bay View Community Center (http://www.bayviewcenter.org/) because they have playgroups for $1 a day.
Also, the Zablocki Library (near 27th & Oklahoma) has Storytime with a craft included on Tuesdays at 9:30 a.m. (free)
Gymboree (Brookfield Square) has open gym on Mondays at 4 p.m. (I think) and it's $5 I'm pretty sure.
The Central Library (downtown) has a Gingerbread house making activity on Saturday, Dec. 15th at 10:30 a.m. and it's free.
Also, on Sat. Dec. 22nd there's going to be a Puppet Troupe coming to the Central Library at 10:30 a.m. doing a show called The Elves and the Shoemaker (free)
Also, there's some art projects for kids going on at the Grand Avenue Mall (free) but I'm not sure of the dates.
One last thing that I know of is some kind of a holiday light show at the Miller Brewing Company.
My suggestion to you is pick up a (free) copy of MetroParent or go online to www.milwaukeemoms.com because they have a calendar with multiple events listed each month (not everything is on there though-MetroParent has more but you have to read through it.
Hope this helps!