Some of the most fun I had as a child was when I had the raw materials to do something- and conversely often the biggest frustration was a lack of materials.
Wood, rope, large cardboard boxes, tape, etc. Strangely rope seemed to always be in short supply. Hammer and nails. Much learning occurs when idle hands are armed with stuff :)
And actually I think the best gift you can give is time. One of the best times I had with one of my young nephews was building a swing- just your simple board and two ropes off a tree limb swing. We discussed how big the seat needed to be- actually measured some assorted butts!, how big the rope needed to be, we measured and cut, learned about knots, tied the whole thing up, and it got a lot of use for years. The designing, acquiring materials, building, overall a simple but enjoyable project with an immediate return, and a template for many other projects.
Later projects were a potato cannon, tree fort with crows nest, for-real play house (including wiring in outlets, windows, insulating, basically a small guest-house)... we spent an afternoon pulling cat5 to all the rooms in their house and putting in a router... soldered up a pong game and a couple other odd electronics kits. Next up may be firearms if I can get the parents to buy into that :)
Time, encouragement, and patience are incredibly valuable and are remembered. Not easy if they're far away or too busy with all the distractions kids have these days. Maybe my entire comment is out of date in today's world. ?