*Haight, pronounced like "hate"
And yeah, there's lots of free stuff.
All of the parks are free, obviously. Land's End is gorgeous. If you go at low tide and hike down the cliff, there's a tidepool with starfish, crabs, etc... Very lovely.
The Japanese Tea Garden in Golden Gate Park is free 1 hour before closing. It's a top tourist destination, so if you get there right before they close, you can do it for free.
Golden Gate Park, The Presidio, Mountain Lake Park, Fort Funston, etc... in general are really great, and free to explore. In the Presidio, you can go from walking along cliffs overlooking the Bay, to dense forest, to old ruins of military bunkers, to old military housing recently renovated in a period of a half hour walk.
Many museums are free on certain days and/or after around 5pm. The de Young, Legion of Honor, SFMOMA, The Exploratorium (which is an interactive science museum, where you can *play with* the exhibits... designed for kids, frequently by teens and 20-somethings who like playing with the tornado maker, heat photographs, etc... ), etc... all have such a set-up which you can look into. The days that aren't free aren't *too* expensive.
The Haight has lots of little shops... some touristy and overtly nostalgic (ie: love beads and giant posters of Jim Morrison), but many of the stores just have some weird/quirky things, and even the clothing stores have lots of rad clothing, some very elaborate and costumy, and even if you don't buy, you can essentially play dress-up. If you hang out with/talk to the drifters at Stanyan and Haight, they'll often be nice and give you free pot, if that's your thing.
The Mission is also great, has lots of great clothing stores, etc... 826 Valencia is a McSweeny's bookstore that's also a children's reading charity with their own publications (many written by the kids themselves... really cute!) and it's decorated like a pirate ship. Also, esp. along Mission St, there are lots of very Hispanic stores, with religious icons, prayer candles and oils, etc... Very interesting.
The Castro is really gay, and absolutely fascinating. There's also this rad store at like 19th (or 18th?) between Castro and Hartford streets that is all tribal stuff... masks, icons, lamps, etc... and is surprisingly wonderful to look through.
The Richmond has various parts... along Clement from around Arguello to Funston is very Asian (mostly Chinese), and has lots of *interesting* things. Along Geary from around Funston to 25th is very Russian... lots of really cheap Russian markets (I once bought an Oasis CD, a giant box of chocolate covered apricots imported from Ukraine, and a picture/poetry book a la Alexander Pushkin for $10... at Europa). Also a couple cute shops with babushka dolls, Orthodox icons, etc... such as Regina. And an Orthodox cathedral which is gorgeous.
North Beach is rad... it was the hub of the Beat movement, and also the Italian neighborhood of the city. City Lights bookstore is landmark of the Beat era, as is Caffe Trieste (the original one at Vallejo St, which is still frequented by old jazz man selling self-published copies of their poetry for $1). Many great restaurants, most not cheap, though. Also, Pete & Paul church (Catholic) is one of the prettiest in the entire city, and even has little catacomb-like "secret" rooms that are GORGEOUS!!!
Actually, most churches are open to the public to explore anytime they're open (usually normal business hours). It's a big city, so they're totally desensitized, so they don't try to convert you... everyone's welcome to come and go, just to look around, and hopefully spare some change for a donation.
Musee Mechanique at Pier 45 at Fisherman's Wharf is great... old arcade games, models, fortune tellers, etc... from the 19th century through around the 1980s. All work and can can be played... a cheap excursion... can be expensive if you get addicted. The Sealions are Pier 39 are also great. If you go after around 11pm, no one else is out, and you get them all to yourself. Also, there's the occasional sealion hanging out throughout the docks/by the fishing boats. If you don't eat at a restaurant and just grab some food at a vendor (cheaper), you can walk out onto the docks away from everyone else and share the meal with a sealion, who will surely be very appreciative and vocal and about his/her appreciation.
Lots else to explore. Definitely a lot to do for free... trust me... I have practice =(
Outside of the city... Oakland and Berkeley there's a lot to explore, and they're accessible via BART (which is fairly cheap). If you go along the coast... if you have a car, West Marin is lovely. Muir Beach, Bolinas, Point Reyes, etc... are all gorgeous and worth checking out. From tiny but cosmopolitan quasi-hippie towns to national forest to big beaches nestled in hills to tiny beaches you have to hike down cliffs to get to. Also, Petaluma is adorable... quaint, but cosmopolitan, and one of the few towns in the area that was built before 1906 and survived the 1906 earthquake... so lots of Victorian buildings, built along a river in very European fashion.
South, Pacifica and Half Moon Bay are gorgeous. Great coastline, very pretty. Half Moon Bay is more populated, and has more of a cohesive town center. Also, if you take 92 away from HMB, you'll pass this rad place with giant metal sculptures of dinosaurs. And Ano Nuevo beach, a little south, has dozens (and sometimes hundred) of sealions who come onto the beach to sunbathe daily... so you're literally stepping over sealions. It's great!