Any two types of paper.
This can mean strips of paper grocery bags; newspaper; light cardboard from gift/toy boxes; craft paper.
Scissors, strip cutter or ruler to help rip strip of paper that are relatively even.
This is fun for all ages because the complexity of the craft can be altered to suit the age of the artist.
My eight year old son just likes to see what two colour of craft paper woven together look like.
My ten year old daughter made a protective book cover out of hers.
I place little Christmas stickers or used an ink stamper on the lighter squares of my woven paper and will use it for Christmas wrapping paper.
You could use the same technique using markers and writing one letter on each light-coloured square and leave the note somewhere for your child to find. Then they will get your 'secret' message by 'reading' the small squares in sequence.
Eg. |L |o |o |k| |i| n| |t |h |e| |f|r|i |d |g| e| |f |o| r| |a| |t| r| e| a| t| .|
Then you can start experimenting with skipping different numbers of 'threads' and interweaving different colours for different effects. Can you make the shape of a star or a fish?
I'll try to add some photos later.