We used to call them swing sets, jungle gyms and play equipment. Whatever your term, you know what I'm talking about. They might just be swings, or they might include a slide, platforms or climbing structures. Some incorporate forts and sandboxes. I think that even your classic tire-on-a-rope swing or board-and-rope swing from a tree qualifies. I've seen structures in peoples' yards that would look at home in any public playground, complete with fencing and rubber mulch (or other flooring) to ease the pain of a fall or a hard landing during play. They're beautiful, but they can also be expensive. If you want something long-lasting and permanent, be prepared to spend some money and to put in time and effort to assemble them.
However, if you have a younger child, you could also start out with one of the many plastic structures on the market. These usually have slides and maybe some swing or climbing components. They're easy to care for and put together, and you can move them around or sell them once your kid gets too big for them. Often, you can also find these plastic structures at yard sales or online for a good deal. When buying used, just check to make sure that nothing's been recalled, all of the parts are present and the structure is still sturdy.