One of the best gifts I ever got for one of my kids was a little screen bug house. I have a child who is interested in all things "nature" and she was always collecting insects and things, so I came across a nice size bug house and bought it for her. She uses it all the time, although some of the living things have met an early demise, at times. I try to remind her to let things go, after a reasonable observation time.
We have butterfly nets, and that provides some entertainment, but the bug house has been the best and most used contraption of its kind.
Magnifying glasses are also very useful, along with identification books.
Not every child is engrossed with these types of activities, but most have an interest in finding out more about their world. It competes with athletic activities in outdoor time.
Organizing the various collections of rocks, seeds, shells and other such things are sometimes part of building my childrens interests. I have never been the best at organizing, but my children seem to really like such things that go along with that, such as scrap booking.
That is something else I was really glad I started with them, but it does go over much better with the girls than the boys. I think I will have to spring for a digital camera for my older son to have an interest.