Jen
My colleague has a game that works well with preschoolers, is cheap and uses recycled materials. Collect caps from all kinds of containers, such as water bottles, gallons of milk, etc. Aim to collect a ice cream bucket full of them. Get different colors and sizes. This alone will be an activity. You can keep track of how many you have and what colors they are. Make a graph, or just count them out each day. It will be good practice in learning numbers and counting. To play a game with the caps, put the bucket of caps in the middle of a circle of children. Each child takes a turn rolling a dice. When the number comes up, he takes that many caps out of the bucket and puts them in front of him. Then it's the next person's turn. Go around the circle as many times as you wish. As the children are taking their turn, talk about what is going on. "Lauren rolled a number five. Let's help her count." "Look, Ben has one brown cap. There aren't very many of those. All of us have red caps. There's lots of red caps." When the game is over, have each child count their caps. Who has the most? or say "Who has 20 caps? Who has 19 caps?" etc. If you don't want to have a "winner", then forget counting the amount of caps and count them by color. "How many blue caps do each of you have? Count your blue caps." You can put the caps away by having each child put a certain amount of caps into the bucket, or put certain colors into the bucket. The good part about this game is that you don't have a winner or loser, and there isn't a specific ending on it- so you can have the game take as much time as you need it to. The game reinforces basic math skills of counting, sorting, more and less. It also reinforces color recognition.

JustAGirl
I have been a preschool teacher for seven years. Sometimes I like to take the kids on a "Nature Walk". I take the children outside and walk around the building and play area. Each child is given a bag of some kind. We collect different things; rocks, leaves, grass, anything they can get. We go back and talk about what we gathered and what makes them different. Talk about if it is hard or soft, slick or rough, etc. This is great for teaching science lessons.

Dad2003
You can do arts and crafts. You don't need much supplies for this. There are many projects ideas and printouts here: Make and fly paper airplanes (or paper boats if you have a pool - small plastic pool will work) Get 10 plastic bottles and a ball - and you can have a bowling game.