Instructables has a nice article about how to create your own interlocking puzzle using legos. First you build the pieces of the puzzle with legos and then you try to solve the puzzle. It’s nice. Particularly for those who have a lot of legos sitting around and don’t want to pay for mechanical puzzles that might not be much fun after the first time they’re solved.
I also notice that there are quite a few lego puzzles on Instructables that are worth checking out.

