Talia just discovered my brother's old K'NEX set a few days ago... this is the first thing with instructions that she chose to build:
A Ferris wheel. We followed the instructions (easy-to-follow pictures) and little by little it came together.
The coolest part was that it really moved once it was all put together. There's a center piece that can be wound that then will propel the wheel around in a circle for a bit.
Or a rolling robot:
Or a combine that works with the addition of a rubber band:
I suppose this could be considered preschool physics... ;) but it was a lot of fun, if nothing else.