My 3 1/2 yr old enjoys pens/pencils/markers/crayons and any pad of paper. Throw in a sheet of stickers and she's utterly delighted for a solid half hour or more. She does this "work" at the table, or in her room with the door closed so her little brother doesn't sabotage it. She's also big enough now to glue things. I used my scrapbooking tools to cut various shapes (usually use leftover paper after a night of scrapbooking, so I have a good stash of these little shapes) and put a little elmer's glue in a bowl for her to dip the paper in and glue shapes all over construction paper. You can also find easy craft ideas with a quick Google search of whatever you want. Search for something like "preschool duck craft" and see what you get. She likes to use the computer, so we taught her how to use the mouse and she plays happily at www.starfall.com by herself. Another fun toy has been a magnet dress-up thing. It's a tin with different cards in it. Each card has a picture of a little cartoon person in underwear and the scenery is different seasons. It comes with a bunch of 2-dimensional magnetic clothes. You put the card on the tin, then the magnet clothes stick to it.
Lacing beads on a string (or on a pipe cleaner, which is easier for little hands to manipulate) is another fun thing.
Finger painting (with washable paint...on the kitchen floor) is something she can do with her baby brother (age 21 months), as well as water color (though his work is a little wetter than hers!).