I know board games don't leap to mind, but check out some of the recent German games.
(I assume you can google these. Trust me, it's worth it)
Settlers of Catan
Carcassonne
Ticket to Ride (extra points for spotting the mistake in the game)
Puerto Rico
San Juan
Yes, these are just games, but they also aren't the garden variety he-with-the-best-luck-wins type of games. Settlers, a little bit, but the rest are intense strategy games. You may not be learning math or physics, but there's just as much value in reading people, long-term planning and anticipating others' actions. Sure, these aren't as tangible, but they're also real-world skills.
I know you've already been through ThinkGeek, but the Cuboro marble sets, if they still have them, continue to fascinate me.
Oh, and magnets. Magnets rock.
One more thing: Old cameras. If he likes to take stuff apart and put it back together, plus learn about optics and light, buy him an old film camera. Look up Canon AE-1 on eBay. Add in a few cheap lens and he'll be able to dissect the camera and examine all the lenses, mirrors, gears and everything. Easily under $50.