#1 Unwind Above, Store Below
Do you already have a nice deck sitting a few feet off the ground? Take that unused space below and convert it into a good bit of out-of-sight storage with some trellis, or even enclose it with barn doors or a similar barrier for a bit more protection from the environment. This can be a great, simple and relatively inexpensive way to add more storage without increasing your home's footprint.
Don't have a deck? It might be worth considering as an addition to your home. Most decks recoup up to 80% of the initial cost when you sell.
This is a great option for items like pool equipment, folding chairs, yard games, coolers, etc. Keep in mind that while this option offers protection from the sun, it won't necessarily help to keep moisture out unless you add a ceiling under your deck and possibly a bit more of a barrier within the walls. If your deck lacks height: try storage drawers instead.
#2 A Built-In Within Your Fence
Kill two birds with one stone by building a fence that also doubles as outdoor storage space. Think of it as the outdoor version of an indoor wall with built-in storage. While this option might not work for every yard, it's still a great choice for some added security plus storage.
#3 Keep It Simple
Your outdoor storage space doesn't have to be elaborate. Some two-by-fours - or even wood pallets - and a few sheets of plywood can go a long way toward providing some extra much-needed space for items like bikes, firewood, yard tools and more. You may want to prime and paint the finished unit or add a couple coats of polyurethane for continued durability. Pressure treated lumber is a good choice, but not always necessary, depending upon your long term use.
Start by brainstorming on your needs and storage 'pain points', then consider what parts of your yard might be the most efficient and useful spot for your added storage space. With some creative 'out-of-the-box thinking', you can likely come up with a solution that fits within your budget and your home's existing footprint while still providing that extra bit of storage space we all seem to need more of.