A [toy telephone](Fisher-Price Chatter Telephone https://www.amazon.com/dp/B014KEDB3Y/ref=cm_sw_r_cp_apa_i_UFgxBbBCE4D74) that will confuse the heck out of him.
Last Christmas my family coordinated which Duplos would different people get The Little Nephew (among other presents). I got to buy a set which is about a vegetable garden; he loves explaining that you have to put things in the right order… while putting them in an order that’s completely, uh, creative 
He likes planting the tomatoes above the sun.
My 3 year old just had a birthday and his favorite toy was a dinosaur set. It’s a set of a varity of dinosaurs and setting pieces, like plastic rocks and trees, that he sets up and has the dinosaurs fight each other, sort of like the green army men but larger.
My kids (7 and 10) we reading it again just today, so it certainly has longevity.
Empty refrigerator box.
Finger paint
Bathtub crayons or paint (soap based
Magna tiles were hands down the best “money per time spent playing” toy ever.
Large piece jigsaw puzzle.
This one has 14 pieces and is for preschoolers.
Initially the parent may want to help the child with the puzzle.
My mom says I used to dump several puzzles into a pile. Then assemble each one. I guess by then one preschool puzzle wasn’t challenging enough. 
This is my go to for that age. A mini mag would be around 10-15$ and as a bonus it’s water proof. The cheasy ones crap out on the first trip to the tub.
What did you get?
Shoot, I was too late to this post, and as the father of three grown boys, I would have had one word for you: Legos…and if you are worried about the size (reasonable), their large precursors, Megablocks…the love for Legos transcends across male generations, I got my boys Legos as I loved them as a boy, we STILL give them to each other as gifts and have a great time on Christmas putting them together…great re-sale value, too…
But, to Sunny’s question, what’dja get?
A copy of Love You Forever for the parents to read to him at night…my wife and I would take turns reading each boy when they were young a book before bed, one night, my wife went to read a book to our then-four-year old son who has always been very bright and introspective…she pulled this out and said, “What about this?”, he paused and said, “I don’t think Daddy likes that book, it always makes him cry.”
There is a really sad story behind the book, but at face value, I think it’s really sweet and loving…
Again, too late for the party, but maybe next time?
I did look for many of your suggestions and would have gone with Stomp Rockets if I had posted even one day sooner; that or a flashlight. But I left it too late and was restricted to what I could find close by. Magna Tiles look great but too expensive.
I got crayons and a doodle pad (with pirates on the cover), a dinosaur (it doesn’t do anything; it’s a T Rex) and a plush
shark that plays scary music all in a minions bag that has a detachable mask. somewhere on the internetz (the dope? I don’t recall) I remember reading that a mask was a hit for a little kid.
thank you to those that helped 
You really want them a bit bigger than that for a three year old. They still don’t have all the small motor movements down so having something they can wrap their whole hand around is better.
To late to matter, but I wanted to add that at 3, the “priceless” cliche was true: the kids had more fun with a big box than anything that came in it.
Of course you can spend a bit more than that: Teepees, indoor tents, and big ball-and-stick toys covered with sheets also worked.
NOT MEGABLOCKS. No self-respecting 3yr old will abide them, and the resale when they’ve outgrown them is zilch.
DUPLO is the one you’re after. It’s the junior version of Lego.
The term “resale value” applied to toys that have been played with by a toddler is laughable. My kids were in middle school before they had any toys they outgrew before they were destroyed or lost. And even then it was borderline.
yes mega blocks suck… they sucker you in with their licensed stuff and you realize nothing stays together ……….
That was what always made my son happy.