Depends on the age, but at toddler stage it is difficult to find anything that works for very long. Here are some of the things we did - some were more successful than others!
play doh,
painting,
finger painting,
kinetic sand,
cutting and sticking,
sticker books,
colouring in,
water painting,
lego,
train set,
magnetic tiles,
books,
blocks,
cars,
"clean" the shower/windows/kitchen cupboards,
big tray with lentils/water, tubs, funnel, scoops etc,
"assault course", with things to climb over, jump off etc.
Or, waterproofs and wellies and go puddle splashing. Have a trip on public transport and watch the rain out the window. Or head to a local museum, shopping centre, supermarket, leisure centre, library etc...