1. Build a hay or straw bale garden. The idea is this...you place a bale on it's side so the cut ends of the hay (or straw) are up and the strings are horizontal on the bale sides. Next you water it thoroughly for several days and possibly wait a few more days if the bale starts to heat up due to decomposition. Following this you either spread topsoil or potting mix on top of the bale in a layer a few inches thick and plant things like lettuce with shallow roots, or you pry apart the bale a few inches, fill the hole with your soil mix and plant larger plants such as tomatoes and peppers. Leafy crops are best, root crops will not work well unless the bale is watered daily and the bale is loosely packed. Don't be disuaded by people who say you cannot use straw bales. You can...they just sometimes sprout weeds which you can pick out as usual.
2. Use the bales like bricks to build a compost pile. Leave the string on for now, stack the bales to make either a 3 sided enclosure or a square one and build your compost pile as usual. The bales will act as insulating walls, increasing the heat retention of a large pile and thereby killing more weed seeds and pathogens and also absorbing a lot of the runoff from the compost. I wonder if this would be good for a humanure compost? After the last turning just water everything thoroughly including the bales, cover and let the compost mature. The bales will break down and whatever isn't composted will make a good base for the inside of the next pile you build.
3. Mulch your garden. Hay isn't usually used for mulch for two reasons....it's better used as animal food and it's full of grass seeds so it can sprout into weeds. But here is an idea we're going to try with our free hay. At our new place there's a good site for a greenhouse with one major drawback, the soil is gravel and sand so while it's well drained, there's no topsoil or humus to hold nutrients and moisture needed for plant growth. Even the hardiest of weeds can barely grow there. Obviously we have a couple of options with this land. Use it for something not requiring good soil such as a storage shed or greenhouse for starters grown in shallow pots on benches. Or we could mulch the heck out of it and gradually build up a good soil base over time through composting. It's easy for us because we have enough other arable land to not worry about the occasional patch of gravel but for other people who could really use more garden space I think amending the soil is the way to go. Lay a thick layer of hay mulch on the ground, several feet thick, tamp it down a bit and water it. It'll compost and rot in place. Just continue to add new layers periodically of other soil, grass clippings etc just like regular compost pile, water or leave open to the rain and it'll rot down. If weeds sprout then just cut them down with a scythe and consider them green manure or cover the pile with plastic, newspaper or weed blocker and kill them that way. This process takes time but can be really worth it and I know of people who have planted potatoes into such a pile and had really great crops.
4. Use the bales as seats for an outdoor event such as Calgary Stampede, a country wedding, picnic or BBQ.
5. Use them to weigh down tarps or the plastic on your greenhouse and when they rot they will release heat into your greenhouse and can be dug in to the soil at a later date.
6. Build a hot water heater using hose or water pipe inside a compost pile or hay bales that are decomposing. Lots of videos on YouTube from the good people at Permies.com and here's a Mother Earth News article from the early 80's about compost heaters.
7. Use bales as the walls of a cold frame and place the plastic or glass over the top of them.
8. A wall of round bales can both act as a wind break and help a small garden retain heat.
9. You could make a rectangular low wall of bales, put some hoops or pipe into them and put a plastic greenhouse over top, using the bales as low walls for growing plants or raising chickens.
See, even a waste product like old hay can still be good for something, you just have to be creative and think about your individual needs. That's how successful homesteading takes place...we innovate with what we've got and consider everything as potentially useful. We try out new ideas and keep doing what works while chalking the failures up to experience.