Elwood loves to play with strips of leather. I buy different, bird safe. sizes, cut short lengths, and make loose knots which he then works feverishly at unknoting. I also punch a hole through wider strips and hang them on the cage near his favorite perches. He uses them to clean his beak, or just to squeeze them to make squeeky noises with. I also run a wooden bead through a length, knot it at both ends and make a little barbell foot toy. Did I mention Woody likes leather.
Another big favorite is a cat ball with a bell in it. You know, those little wiffle/waffle balls with the bell inside that they sell for cats? My budgie loves them too. I told the manager of the Petland near me and she gave one to her lovebird and her bird loved it as well. You can use them loose as a foot toy, or hang them. Either way, they're fun.
I don't remember where I got this last one. Maybe Choppers Toys or Greyfeathers. It is a little multicolor dinosaur puzzle. It is put together to form a little 3-D dinosaur toy, but comes apart into pieces. Elwood loves taking it apart.
His favorite toy is me.
I'm looking forward to see what other people come up with. It's not easy trying to stay a step ahead of a caique in the entertainment department.