My guys like willow sticks (that I get from my friend's unsprayed trees in her yard), cardboard boxes, and wood toys that I get from the local bird store. They also love shredding brown paper bags, and old newspapers. I also give them scrap pieces of untreated pine wood.
They love an old oatmeal cardboard can, with the plastic and bottom removed. It's a tunnel/hidey hole and it gets trashed pretty fast.
I remove the plastic from any size tissue box, and stuff it full of hay and carrot slices. They eat all the goodies, then shred the box.
I don't buy much at the store because they go through everything pretty quickly. So found items are friendlier on my budget and they love them just as much as bought toys.
I don't give them too many at once, maybe one or 2, and once they're destroyed or loose interest, I rotate them out for another toy to play with.