Magnetic bisymmetric hendecahedrons (an 11 sided space filling polygon). Each one uses eleven 3mm ball magnets. The magnets are pressed into each hole and need to be able to rotate freely for the parts to stick together. It should take a pound or two of force to insert the magnets.
It may require some tweaking to get the sizing right (to account for printer settings, plastic shrink, variations in ball sizes, etc), the default scale worked well for me when printing in a variety of PLA filaments, but was a bit too tight for ABS. I printed with a 0.3mm nozzle to for sharper corners and more accurate details.
WARNING: do not eat neodymium magnets or give them to children who may eat them - http://en.wikipedia.org/wiki/Neodymium_magnet_toys.
The magnets can be purchased from dealextreme [3mm*, 4mm*, 5mm*], ebay, aliexpress etc.