Visiting Jefferson Barracks Historic Sites musuems is a great way to see a glimpse into the past! They have wonderful exhibits on the military past of STL and Missouri. This site was an important part of our military past and if you have a relative go to WWII they most likely went through Jefferson Barracks. We go down yearly at the end of April for World War II weekend which is a great was to make the history of this important time in our history come alive to the kids and makes them understand really what they are learning about. As a teacher I know it is hard to get students to understand what they are seeing in a book but the this event (which is open to schools on the friday for free) is a great way for them to get to see in real life exactly what they are reading about!!
I have also attended several hayrides (I believe they are in September each year) and they are also wonderful and allows you to see soldiers (reenactors) from many different time periods in United States history!! These events and the museums are great ways to see history right here in STL... and the museums are free which is always affordable!!
I have not been in other parts of the park (aka where there are picnic pavilions and baseball fields) but when driving past they are always packs so they must be as wonderful as the other parks in the County Parks system!!