The four identical pieces of this interlocking puzzle make up a 5x5x3 cuboid. Gregory Benedetti is the designer of this puzzle and the plans are freely available on Puzzle Will Be Played.
The pieces of this puzzle would impossible to print on a RepRap without support enabled. So instead I split the main shaft in two and used LockBlock connectors to join them back together (http://www.thingiverse.com/thing:27695).
Print four copies at 0.2 mm resolution and use medium density infill to give strong pieces with a nice smooth top.
The following YouTube video shows how the pieces are assembled, but doesn't give the solution away.