http://en.wikipedia.org/wiki/Poisson_limit_theorem
Basically, you need a whole lot of events which occur in an essentially independent way, and each one is rare. You add up the number of events that happened, and it is approximately Poisson. Something like tossing 1000 marbles into a 100x100 tile floor, and counting the number of marbles that landed in some 10x10 tile area.
More specifically, if you take a rectangle of width 1/nth of your visualization box, height 1/sqrt(n)th of your visualization box, centered on the point of the walk in the middle of the box then zoom in, you get another random walk with the same statistical properties as the original.
http://en.wikipedia.org/wiki/Wiener_process#Self-similarity
which is rather nice.
If you get some infrastructure for making Brownian motion sample paths, another good one is that it crosses zero infinitely often in the neighborhood of the origin. Keep zooming in, and see more and more crossings. This is another instance of the scaling rule you mention, but it is neat to see.