My DD is 3.5 and I have also taught 4 and 5 year olds before. Here are some of the things that kept them occupied for a least 15 minute stretches and sometimes longer and were easy to set up:
*sticker pictures - sometimes I draw shapes on the paper and have my DD just put stickers in the shapes or draw lines and have her put them on the line. Also, look for those garage sale dot stickers and have them make pics with that - you can trace a letter and then have them put the dots on the letter
*Counters - can be sorted, lined up, played with in lots of ways -
*cookie sheets with magnets - kids can make magnets for a craft project or just use any that you have around the house
*dry erase boards and dry erase markers
*a small dish pan type tub filled with beans - include spoons, containers and tweezers for taking out beans - or you can get a sand/water table and fill with something besides sand or beans like rice.
*flashlights - a good quiet activity - have them lay on their backs and flash the beam at the ceiling and "chase" each other's beam...
*paper link chains - this can be wasteful in terms of paper, tape and staples but hey it keeps them busy - have precut strips and then let them use tape or a stapler to make the links - it works quicker and better than glue
*"wash" dishes - this can be messy but using a little water reduces the mess or using a spray bottle - have them gather up their play dishes or food - assuming its plastic - and then have a littel water in a tub or spray bottle w/a smidge of dish soap - enough to make bubbles, sponges, and towels and have them "wash" their dishes