Given the original question - who has NEVER let their chickens free range - I'm surprised by the large number of posts from folks who DO let their flocks free range. I've had hens for about 5 years now, and am on my second flock. I've never let mine free range due to neighborhood dogs and a large number of predatory hawks and eagles in our lakefront area in northern Wisconsin. My hens have a 4' X 8' insulated coop and a fully enclosed run measuring about 8' X 16'.
After much trial and error, I find that my hens are happiest when I have armloads of pine needles, leaves, wood chips, or other material to dump in their run. They spend hours spreading the pile and looking for insects. When they exhaust the possibility of finding bugs, I throw a handful of scratch into the mix and they start all over again. When the material gets matted down or starts to look dirty, I rake it out and throw it in the compost pile, and start over with fresh material. This keeps the run quite fresh, though occasionally I will sift a layer of lime over the earth before dumping in the new material. Before I discovered this, the run was often mucky and stinky. Last fall I put about 10 inches of pine needles in the run, and this spring, the snowmelt drained away beautifully with no standing water or muck to deal with.
I occasionally throw in large leafy branches, hang a cabbage, buy a flock block, or try other "boredom busters." Winter is the hardest time, when they spend less time outdoors due to snow depth. They get peckish at one another. It's important to make every effort to give them something to scratch and peck in. I use the deep litter method with an earthen floor, and thanks to a sifting of D.E. in the shavings and a poop-shelf under their roosts (lined with empty feed bags for easy cleaning) the coop stays fairly clean and dry. This gives me the option of throwing a handful of scratch right into their shavings in winter, so they have something to look for.
I do feel bad that my hens don't get out to find bugs and enjoy more normal behavior, but I also feel GREAT that they are protected and well cared for at all times. I would concede that keeping them "cooped up" is not the best method, but my hens are quite healthy and lay well all year round. Hope this encourages you.