I just saw this one in the March issue of Science and Children, and it's something I definitely have to incorporate into the moon phase activities I do with the kids. The original comes from the Top Science web site, and while I've enjoyed their short ads in the magazine, I never looked at their web site. Definitely a good resource. (I'm resisting the urge to whip out the credit card and buy a bunch of stuff...for now anyway).
Here' the exercise: tape/glue/attach a small ball, like a ping-pong ball, to the top of a straw. The straw is just your handle. Go outside during the day when the moon is visible. Hold the ball at arms length, in the sun, but in the direction of the moon so that the ball covers the real moon. Now note the pattern or light and shadow on the ball and compare it with the real moon.
Tape/glue/stick a small ball on top of a straw. Then go outside during the day to view the moon (near first or third quarter will work best). Hold the ball, in the sun, at arms length so it covers the moon and note the shadow on the ball. Compare that with the moon.
What's especially good about this one is that by holding the ball in the same direction as the real moon, you get not only the phase (e.g., crescent or quarter), but also the correct orientation with respect to the horizon. You can supplement that with some of the other models I've done, but this one is quick and can be done on the cheap.