Similarly engaging toys:
Meccano (http://en.wikipedia.org/wiki/Meccano), a French brand of metal rods, plates, gears, etc. that you can assemble together to form functioning small scale models (usually of vehicles). E.g.: http://upload.wikimedia.org/wikipedia/commons/f/f4/Meccano_0...
K'nex (http://en.wikipedia.org/wiki/K%27Nex), my personal favorite as a child- rods and plastic connectors that you can use to build vehicles, small scale models, toy guns, etc. I really liked them a a kid because while LEGO are more about building static dioramas/models, K'nex is more about building dynamic/usable contraptions. For example they had really cool kits to make solar powered robots that would crawl around and were very easy to modify; unfortunately these days they seem to be more focused on branded content (e.g. Mario Kart, Angry Birds).
Logiblocs (http://www.logiblocs.com), plastic blocks from the UK with electronic components encased in plastic that are easy to plug together, allowing kids to assemble projects such as alarms or a basic voice recorder. E.g.: http://www.logiblocs.com/images/understanding_spytech.gif . Their website seems to be stuck in the 90s :)
Littlebits (http://littlebits.cc), in a way a modern reinterpretation of Logiblocs - electronic components that snap together using magnets, sold as kits.
And of course Lego, but no need to talk about these :) Although the LEGO Mindstorms series should get a special shoutout.
Those are all the ones I can think of, but I'm sure other HNers will have contributions. I wonder if there's room to do a construction toy these days, given LEGO's titanic market and mindshare. I was very excited about Goldie Blox recently, but I thought it fell kind of flat - their models aren't very extensible/modifiable in the way that LEGO or K'nex or Capsela are.