For Christmas, I bought the children a simple block puzzle from Plan Toys that they absolutely love. What I love is that this puzzle keeps the children engaged because there is more than one solution. Once they find one solution to the puzzle, they challenge themselves by mixing it up and trying different configurations. For instance, if they move the black rectangular piece in to the middle of the puzzle, versus either end, or midpoints along the way - they will get a different solution, each time.
To add another component of learning, I cut out rectangular pieces of paper and have the children color with their crayons, the various solutions that they have found. At a later time, I will give them the "solutions" that they've drawn to see if they can use the "key" to solve the puzzle the same way.
Although they might think that they're just coloring, they are actually learning shapes, order, problem solving and spatial dimension. And, it's a lot of fun.