I agree - mess is good. Stuff like play doh, shaving foam, water mixed with cornflour etc are such fun to get messy with (in the bath tub if need be). Sand also good, clay, paint.
At her age I'd go mostly for experience based things, rather than outcome based (eg, "lets make a jewelery box") -things where she can;t get it 'wrong', and the enjoyment is in the activity rather than the end product.
Story telling is good - my DD is learning to tell stories (she is 5, but quite a particular child, so worries about doing the story 'wrong') - you could write her stories down for her and get her to draw the pictures.
Dancing also good - get some of the Putamayo international music CDs, and some classical ballet, some marching band music etc, and then give her some pretty ribbons and pieces of fabric to twirl and shake in time with the music.