There's been a lot of research about the importance of "sensory" activities for younger children. In short, they are hardwired to aquire information about their surroundings through their senses. Plus, they really enjoy it! That's why things like banging on pots and pans and playing in the sandbox are such hits with the preschool set.
Here's more information on the topic.
Here's some ideas I've come up with:
DIY Ooey Gooey Slime
How to Keep a 2-5 Year Old Busy for at Least 30 Minutes