One afternoon, the kids in the Lego Club at the local library constructed marble mazes. This one is a garden maze, but there was a fruit stand, a bridge, a tall maze, and an underground maze.
Cool thing #1: all you need is a bunch of blocks, a base, and a marble. And when you get tired of the maze, you can move the blocks to create a new maze. Here's one in motion.
Cool thing #2: if you don't have Legos, you could raid the recycling bin for cereal boxes, corrugated cardboard, or maybe the cover of a discarded hardback book. Instead of clicking blocks on a base, you'd need to glue maze walls. Or use a stapler or duct tape.
Cool thing #3: if it's a sunny day, you can make a maze outside for your friends to follow. Think about how you might get help mowing a maze, or lining up hay bales (or boxes), or using stones or cement blocks - even pine cones - to outline a maze.
The hard part: creating the maze so you (or a marble) can travel from one end to the other, and including false trails that end in a road block.