A.L.
I'm with Bunny - We get a lot of mileage out of itsy-bitsy spider and thumbkin, too.
A little memo pad and a pen can get you a long way, or check out the toy aisle in the dollar store - our last major score was a tiny "fishing" game (the kind with the moving fish and the little poles) that wound up - we were pretty popular with the other little kids in the ballet studio waiting room for that one. The dollar store also has bags of little plastic animals - those have been great for us.
IKEA has great finger puppets. And I have girls, but we've gotten some joy from little cars, too.
If you can find one, try a cheap mp3 player. We got a little kid-proof one (with just one button - on and off, a twist top for volume control, and speakers instead of headphones) from toysrus and filled it with grownup and kid friendly stuff. Think the Beatles or jazz - stuff that won't drive you nuts, since it has a speaker and you'll have to listen, too. My little one bops along in the shopping cart, "dancing" in place.
We also make up stories. I admit, sometimes the well runs dry and I plagiarize a bit. My daughter was pretty impressed with the one story I "made up," until she actually SAW Star Wars...