My older DS loved activity books when he was 3 and 4 years old. He would spend hours working on connect-the-dot books, preschool activity books, and Kindergarten ones. He LOVED them!
My younger DS, on the other hand, will barely even look at an activity book. I set up a craft kaddy with drawers full of craft materials (paper, pens, glue, tape, beads, string, stickers, etc., etc.). He will spend a lot of independent time making things and drawing pictures. He also loves legos and K-nex.
For a while I also put together activity packets in ziplock bags for my oldest son. Then when we were really needing him to have some independent time, we could pull one of those out. This really helped my DH when I was traveling for work and he was playing the single parent role. (I got lots of ideas for these by Googling for ideas about keeping toddlers busy while homeschooling older kids. There were some great ideas.)
