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Lego are great, but stinkin' expensive and, as any professional block-builder will tell you, somewhat limited. The somewhat inaccurately-named
* PixelBlocks, though, are pretty darn cheap, colorful, and extremely versatile. Unlike Lego, these can be attached to each other in any direction, allowing you to build weird and wacky 3-D constructions limited only by your imagination. $8 USD and up.
* Warning: geekery ahead. Pixel stands for "picture element," and refers to a two-dimensional dot of color on a computer screen. These, however, are three-dimensional "volume elements," or voxels.