They make coats for a reason. :-) Unless it's pouring rain, go outside for a little while everyday. Even if it's just for 20 minutes, you'll both feel alot better. My kids love playing in the leaves right now - even my 13 month old. They love this cooler weather because they can run around more and not get all hot and sweaty. I'm not sure where you are because we've have great fall weather here in central IN... temps in the 60s/70s and not alot of rain. Even when it does get 'yucky' in a few months most days are fine for playing outside. I have 3 young kids and they play outside year round.
If you want to stay indoors, just bring the outdoors inside. Get a small climber and put it in your basement. Heck, when my son was your son's age, we had it in the family room because he climbed on that thing constantly. We have the Kangaroo Climber from Step2. It's a small cube with a door, slide, and lots of ways to climb up, through holes, etc.
Buy an inexpensive dishpan and fill halfway with rice or dried beans or styrofoam packing peanuts. Use small shovels just like the sandbox. Kids love it! Yes, the beans are choking hazards but it's a supervised toy - only bring it out when you're watching (it won't be as messy then, either!). I make sure to put ours on the non-carpeted areas of the house, and usually put a newspaper under it to make cleaning easier.
Make an obstacle course. Pile all the pillows and cushions from the couch onto the floor and let him climb/crawl all over the pile. Fill the kitchen sink partway, pull up a chair and let him play in the water with scoops and squirters -- kids LOVE water play!
For sanity sake, leave the house at least once a day. Get a membership to the Children's Museum if you're in the Indy area. It'll be worth it once winter sets in. You can go for an hour and not feel like you aren't getting your money worth. I take the kids at least once a week in the winter. The Playscape area is perfect for toddlers and I'm sure your son would be able to spend >hours< there not getting bored with the water table, sand table, various building blocks, toddler 'obstacle course', climbing stuff, slide, etc. They also have music/song and finger play times almost everyday. And that's just one small section of the museum!
Malls usually have a play area, but I usually avoid them because they tend to get really busy, have alot of older kids who shouldn't be there, and it's too easy for the kid to get out of sight and wander off. Chik-fa-la's and McDonalds usually have indoor play areas... you don't have to have a real meal there, just go order a coke and sit while he runs around. The Carmel library and the Westfield library have a really nice kid section with toys, puzzle and computers for toddlers/preschoolers games. Not to mention the great storytimes and craft times they have. We're at the Carmel library at least once a week.
While you're at the libary, browse the books that have ideas for things to do (ask the librarian!). A book I had when my oldest was a toddler was The Stay-At-Home-Mom's Survival Guide (or something like that). It's full of very good info and ideas for 'boredom busters'.