Going to the Colosseum or Circus Maximus would not be a (regular) option for upper-class and wealthy provincials living in Britain, Spain, North Africa, etc. What kind of entertainments did people who were geographically remote from Rome but still able to afford leisure time enjoy, during the Roman Empire? Obviously it will vary a bit by area but I'm particularly interested in Roman Britain and Spain.
Believe it or not, they engaged in the same types of leisure as their counterparts back at Rome: they went to the horse races in the circus, they saw animal hunts, they watched gladiators, they went to the theater, and they went to their country villas to get away from the hubbub and relax. At Colchester, for instance, there was a Roman circus and a theater, and an amphitheater (for animal hunts and gladiators) at London. Britain is also littered with Roman-style elite villas (just do a quick search). There are numerous examples of such structures in Spain as well. Check out Merida, or Toledo, or Italica.