Me: BW, divorced, now fabulous and happy!
Movies are a great thing to do alone. Independently owned book stores may have author readings that sound interesting to you.
Look around at your local paper (especially if you have an alternative weekly) and see if there are any concerts or unusual things you might be interested in. I've gone to concerts alone, started talking to other single ladies there and had great nights. There are usually lectures, art exhibits, etc.
Also, just because someone has an SO doesn't mean they don't want to do anything with you. This is something HUGE I had to overcome since XWH was so antisocial and essentially insisted that I spend all my free time with him and without anyone else.
I do a lot of things with my married friends -- sometimes just us ladies, and sometimes there will be 3 or 5 of us (with me the single one.) My BFF told me she really likes it when the three of us go do stuff because she and her husband have been married so long they can get bored with each other but I spice things up :)
Another idea is to check out the local university if you have one. Mine has planetarium shows, drag shows, movies, and tons of other really interesting activities.
I truly believe that there is no excuse for being bored. There are so many events taking place in every medium-sized city -- you just may have to do some work to find them!!!
Married: 11 years, no kids
Character is destiny