I do similar things as LS suggested.
My son is 2.5 years old... sand boxes are great. Or Moon Sand.
Anything a kid can "build" really immerses them as well, and their imagination.
Also, my son like those "Operation" games... he can sit there for a long time just trying to pick out the body parts without it going "BZZZZ!"
But each child is different... when my daughter was that age, she always liked to have someone next to her. My son on the other hand is more independent... and can and will be perfectly content immersing himself in anything. He also pretend plays by himself too... and it's so cute.
Also, get some costumes... and knick knacks for him to "pretend play." This is a perfect age for that... and it develops them as well. Kids LOVE costumes! Or, he can play with his Daddy's clothes and put them on and pretend play. My kids like to do that too.
But all in all... each child has a certain window of time they will play by themselves... then they will ebb and flow and then want you near them too, for help.
My son also like to paint rocks. I get them from outside, I lay out a huge piece of plastic so he doesn't dirty the floor, paints, brushes, and then I just let him paint. I don't tell him "how" to paint, but just let him explore it himself.
Also, sidewalk chalk is great too. I just let my kids draw on the patio. Anything goes! Since it rinses off with the next rain.
We have those "Leapsters" too. Both my kids like it. My son figured it out on his own and he can do that for awhile... especially in the car or if I'm busy cooking.
Or, get some big boxes, and let him paint that... and then get things he can glue on it etc. Kids love doing things like that.
Or, get a piece of furniture that you don't mind letting him have a go at, and let him paint it. My son and daughter love doing that.
Lots of different things, that you don't necessarily have to buy or spend money on.
Good luck,
Susan