My dad built a wooden platform that was about 5 feet high. It was set up for us to set up a tent on the top, but we mostly climbed up and jumped off. It functioned as a ship, a rocket ship, a fort, a house, a watchtower, and just about anything else a bunch of kids can imagine for many, many years.
I think a swingset is a good investment - kids do get a lot of play value from them over the years. I think there are a lot of options, though, and you really don't need to go for the big and expensive variety.