I agree with both the hot melt glue gun, with close but hands off supervision and the Lincoln logs and tinker toy. I don't have either of the latter, but let my granddaughter, now 6, use the hot glue gun. She and her Mom used to built little scenes using popsicle sticks with a glue gun.
A hot glue gun does get hot enough to burn, however, so I think at least a bit of "helicopter" supervision is needed, rather than more than a few feet away. Sort of defeats the purpose of being able to work at other things, though.
"Quality is like buying oats. If you want nice, clean, fresh oats, you must pay a fair price. However, if you can be satisfied with oats that have already been through the horse, that comes a bit cheaper."