I found a great list of free things to do in Milwaukee. Most are warm weather activities, obviously, but there are a view worth bundling up for in the colder months. I took Alice to this nature center on a cloudy day. We learned about all the animals that live in these parts.
It was a great place to visit with a little one. There were lots of things to touch and see.
Most of the animals were stuffed. Badgers are not to be touched, obviously.