My mom took DS and I to Myrtle Beach when DS was 18 months, and I LOVED it! Otherwise, DH and I don't really take vacations so I don't have much advice for you.
The only thing we've ever done in St Louis was on the way back from our honeymoon (we went to Florida and just drove around, nothing exciting) we stayed the night there and went to Six Flags, but that isn't cheap or free.

I hope someone can give you some ideas!