I live in New York City - so certain things are easier to find, if more expensive. In less urban environments it may be harder to find certain activities. But hopefully, everyone should be able to find something.
Most of the activities have multiple offerings within subway distance, so it's reasonably accessible by anyone in or near New York City. Obviously, if you live in a different city, I can't give you specific advice even if I wanted to. Worse, some of my favorites have already closed down (I still miss the old Dance Manhattan and 3rd Ward).
A couple of times I did while on vacation. Usually these are more expensive activities, but if you want a fun vacation and don't have any idea, think about making one (or more) the focus of your vacation.
Even living in NYC, chances are I would not have been able to discover half the things I have tried without the internet. It is only through it's massive communication that I could find out about things like glass blowing classes.
There are a lot of websites to help you find specific things once you know what you want to do. Besides search engines, (shout out to the owner of blogspot - Google), both Living Social, and Yelp are godsends.
Also, the magazine Time Out sometimes has a section called "Things to do". They have versions for many cities, including New York
In New York you can also use:
http://www.sva.edu/ (School of Visual Arts)
Or you can leave a comment here asking for a suggestion and someone might be able to help you out.