This one is great for little little ones in particular: Salt Dough! All you need is flour, salt, and water to make your own dough that you can sculpt and play with.
Mix 2 parts flour, with 1 part salt, and 1 part water. Mix the flour and salt together and slowly add in water, one tbsp at a time until combined. If the dough is too wet, add more flour; too dry, add more water.
If you'd like, you can even add in food coloring and then make ornaments or handprint art out of the dough. To harden, bake at 250ºF for 1-2 hours depending on thickness and size.