My kids absolutely LOVE this Parshah. Actually, the entire Chumash Shemos is pretty great to learn since it is familiar to the kids, being that we learn about it on Pesach and Shavuot as well.
Here are a few things we have done in learning about this weeks Parshah, Parshas Shemos:
Here's the story of Baby Moshe in a sensory box. We used blue glass marbles for the water with little plastic fish inside. We had a little plastic baby in the basket as baby Moshe and used Mitzvah Kinder as Princess Basya (with a pipe cleaner attached to her as her "stretched out arm") and Miriam, watching her baby brother. I had these cool green fuzzy things we used as the river bank. My daughter LOVES sensory boxes. She actually plays out the entire story and loves holding, feeling and finding all the cool little things inside.

Here are some super easy puzzles I made for this Parshah. I downloaded and printed out 3 pictures of this weeks parshah from www.chinuch.org. I made the sizes 5x7. I then laminated them and using a hot glue gun, glued large Popsicle sticks to the back of each picture. I then used a knife to cut along each stick to separate the pieces of the puzzle, and voila- super cool custom made puzzles for the parshah! Kids loved them. They even mixed all three puzzles together and put them back together again to make it more challenging. 
Here, we used the movable Hebrew alphabet to make a few words. You can use those plastic magnetic Hebrew alphabet letters too. I just took the letters, spelled out the words on the actual copy machine and made a copy. I laminated it so it will last. The kids then found the correct letters and vowels and placed them on the matching one on the paper.

We made a burning bush using real tree branches which the kids had a great time collecting from outside. We cut up flames from tissue paper and glued it all on to look like a burning bush.

Geo-board...

and Wedgits...


And here is a GREAT book about this weeks Parshah:
I also put something together today which I have been meaning to do for a LONG time...
I made Our Shabbat Box--- it's a special box (in our case, a medium size trunk we got from a friend that I have been trying to figure out what to put inside) and it is filled with books, toys and games that we only use on Shabbat. It gives the kids something to look forward to and they don't get bored with the things inside since they know they can only play with it one day a week.
You don't need to go out and buy stuff, just take some of the kids books, games and toys and put them aside (obviously make sure the games/toys/books are not electronic).