If you take your kids they have a nice children's museum.
If you take your kyak you can shoot the rapids downtown - not kidding they do races there.
Home of Neovteric Hovercraft.:
http://www.neoterichovercraft.com/
Try to get an architectural tour of the Rose-Hulman campus - pretty neat.
http://www.rose-hulman.edu/
I only visited Terre Haute once............I suppose you could find the city website for visitors.