PixelBlocks

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.