I don't think I stole this idea from anywhere in particular, but I didn't come up with it on my own, either. It's a pretty common project.
And all you need is toothpicks and mini marshmallows. How's that for cheap?
{Had a little too much fun with the photo editing. Heh.}
Anyway, the gist is that you stick the toothpicks into the marshmallows. If your kid is pretty little, you can just leave it at that. As your kids get older, you can have them make shapes and little sculptures.
Little Boy loved it, but he insisted on copying whatever I made. He's really into this building stuff, but creativity isn't one of his strengths right now. Oh, well. I finally stopped building and made him think up some shapes on his own.
I don't have a photo of all the stuff we made, but we used up a whole lotta toothpicks and marshmallows. Not ALL the marshmallows, though. We had to save some for snacking on afterward.