There are a gazillion toys, games, computery edumacational type things out there, but sometimes it's the seriously simple things that they (and we) love the most. Not only do they love the simple stuff, it tends to help them connect better with their environments and develop their sense of self.
One thing my kids love doing is art (apple doesn't fall far from the tree really!), especially painting.
Make sure you allow your kids to use good quality art materials, it really makes a difference.
Good quality supplies create a much nicer finished artwork that will help to make your child proud of themselves and their handiwork.
Textas, pencils & crayons
Purchase pencils, textas and crayons that are rich in colour and smooth to draw with. Some of the cheaper crayons especially can be very low in pigment and leave a waxy transparent mark which is not at all satisfying for anyone! Textas that have a specially shaped tip that can't be "pushed in" are great for learners. Try using watercolour pencils or crayons, they can be just as much fun as paints but less messy.
Paints & brushes
Good paint brushes (instead of those nasty hard plastic bristle ones) give a beautiful line when used with watercolour paints, not a scratchy mark! Be sure to teach your little ones to care for their brushes by never leaving them in water and always rinsing them clean before putting them away.
Have a container just for brushes that they will want to use, get them to help make a label for the container or make an art roll to keep those precious brushes safe!
Purchase good quality paints (especially important with watercolours), but always look at the label for health warnings to make sure there are no toxic substances. I find that quality paint pans provide a rich colour but have much less potential for mess and accidents.
Always have a large jar of water with which to wash brushes between colours.
Unless your child is using watercolour paints, you can use pretty much any cardboard or paper to paint onto. Of course, the thicker the paper the less chance there is that it will cockle (go all wrinkled).
Use different coloured papers/cards. Try using the inside of cereal boxes, old envelopes, label paper (custom stickers!), rolls of craft paper. Have them experiment to see what the paint, texta, pencil etc works best on. Subconsciously they will be learning about materials science!
When using watercolour paints I always recommend using watercolour paper. It is expensive but if you purchase a large pad you can cut down the sheets into smaller pieces and stretch your dollar (pound or euro) further. You can also use blotter paper, coaster board, kitchen roll or even coffee filters. Any type of paper that absorbs water well will do.
You don't need to spend up big to get good quality supplies. You can purchase one thing at a time, or ask family members to buy them for birthdays and Christmas. Sometimes you can find good supplies at garage sales, opportunity shops (thrift stores) auctions and eBay. I recommend buying good brand name stuff. If your art supplies work well and you teach your children to respect them they will be better value in the long run, and your child will learn to love art and feel confident in making their mark.