A cool gaget gadget I've seen in a few science museums: There is a vertical board with a lattice of nails in it. You drop balls in from the top, at the center. After dropping enough balls, you always see a Bell curve, "proving" the central limit theorem. Then a catch releases the balls, they are transported back to the top, and you start again. The cooler versions of this have the Gaussian predrawn in the background (which displays a certain level of confidence! And a willingness to replace missing balls).
Edit - This is sometimes called a Galton box.
