Things to climb on is their favorite, Especially if it has two or three levels. Just don't put it too close to the side of the pen. I have seen some very creative set-ups,using stumps/ large wooden spools/ boards and ramps.
They will also create their own toys. I put a basketball in my buck's pen and he ignored it for almost a year. Now he pushes it around sometimes. But his favorite thing is to take one of those square plastic over-the-fence feed bins and knock it around, picking it up with his horns and walking around with it like a hat. It is very silly.
A couple of my does like to pick up large-ish branches with their horns and rub between and behind their horns with them. This happened when a branch came down in their pen and I left it so they could clean off the leaves and bark....they loved it so much that it has been there for a couple of years now and is smooth and shiny from all the rubbing!
They also love brushes and push broom heads and those black rubber welcome mats screwed into a wall or door frame or post, to rub on.
Blocks, platforms, heavy boxes.....anything to climb on. I arrange plastic blocks (made to hold jump poles for horses from my riding days) as stepping stones in muddy areas and my does ALWAYS use them.
They love ANYTHING they can climb on - it's up to the owners to make sure it's safe. I used some old wooden car ramps (2" x 10") and screwed in a few cross pieces of wood to give them better traction to get up onto some higher wooden spools. I then screwed a 2x10 between two of them to give them a bridge; I added an old piece of siding to make it even wider.
They love the rabbit hutch in the pen the best... that's their favorite place to lay around. They also like to jump up onto the igloo dog house.
I buried a few old tires (make sure there's no metal coming through them) and they like to jump up onto them.
It's not in the picture but I also have two five gallon buckets tipped upside down with a 2x10 screwed into them making a bridge in another goat area.