My rats love to explore "obstacle" courses - basically a room filled with boxes, tubes, large climbing things, kid toys, PVC tubes, socks, blankets, digging boxes, whatever I can think of. Changing things around regularly (every couple of days even) continues to spark their interest. Here's a good web site full of toy ideas: http://www.dapper.com.au/toys.htm

You can also try training your rat to do agility. I've seen agility courses scaled down for rats - and they're really fast at it! You can google "rat agility" and get many hits, including some good videos.

You might also want to look at this book about training: Training Your Pet Rat. Much of it is about basic care, but the author argues that rats without good basic care aren't as easily trained as rats that do have good care. The training part is interesting and fun.

Others will have some great ideas, too.

Here's a good page for rat agility. It tells you how to make your own equipment and how to train them to use it. There's also a page with some trick ideas on it. I'm starting my group off with some simple ones, then I want to try to teach them bowling and basketball... 

I second the Training Your Pet Rat book too. I have that one and it has a few cute tricks in it.