My 2yo will be 3 in 9 days!!!!
Well, don't know if you like/hate Wal-mart type toys, but
Playskool company makes large transformers for little hands. I think they are called Go-Bots. My soon to be 3 yo is facinated with them and they make a good car toy, b/c it keeps his attention without lots of pieces floating around the backseat!
Rescue Heros are a favorite
I second the play-doh and I found some that comes with battery powered tools that Jake loves, loves, loves
Any cool/educational video under 30 minutes (OK, maybe that is for me

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Those markers that only color on certain paper or coloring books - crayola makes them
We did solid wood blocks from an educational/teaching store called Kaplans (think there is a website) but not sure if its just a local company and I know you would pay $$$ to ship.
Finger paints and lots of butcher paper to paint on
Zoo membership (ours in NC is 50.00/family for a year and we live close enough to go on a whim and it pays for itself after 1 visit.)
Its so cool and my kids LOVE it.
A trip on a train (amtrack is cheap) and we did this for my 4 yo and it was a blast. We took a two hour trip to a city with a museum within walking distance of the train station and spendt one night with a friend in the same city.
My mom did an "outside gift basket" which was a huge sand bucket filled with outdoor toys and then bought several bags of samd to refill his sandbox. He will love it, too.