I loved to build things, so definitely Erector sets. Also, a really cool toy that let you build buildings out of plastic girders and windows called Girder and Panel. Was surprised to see they still make it (
Girder and Panel Building Toy)
Another building toy I really liked was Rivetron, which had plastic panels with holes in them, and you secured them together using a plastic rivet gun and rubber rivets. But I think it got recalled because kids were swallowing the rivets or something like that.
I also loved electronic toys, and each Christmas my parents would buy me one of the 100-in-1 type electronic kits from Radio Shack. They had all kinds of components (resistors, relays, etc) on a board with springs, and you connected the components to each other using wires run between springs. I loved those.
Then Atari came out, and I started getting consumed with video games as a teenager.
I LOL'd at people mentioning matches
The house I grew up in had a shed attached to the back of it that I used to play in, and one day I found a plastic box full of blue tip camping matches left over from when my Dad used to go camping. To a kid, it looked like there were hundreds of matches in there. Boy, did I have fun with those!
One day I saw an older kid walking by our house and I asked him if he wanted to come and play with matches with me. He ran and told my Mom ("Lady, did you know your little boy is playing with matches?") and she came out to the shed and saw probably dozens of struck matches lying around on the floor. That ended my early experiments with pyrotechnics