You can build your own electromagnet. Get about five meters of copper magnet wire (you can buy it at Radio Shack), a large iron nail or another piece of iron about the same size like a butter knife, a rubberband, some sandpaper, and an AA battery.
Wind all of the copper wire around and around the iron nail, being sure to always go in the same direction so the electrons will all be flowing the same way. When you're done, use the sandpaper to sand off the enamel coating from the very tips of your copper wire - just the last centimeter at each end of the wire. The wire will be a different color under the enamel coating.
Now connect your electromagnet to the AA battery, one wire touching the negative end and one wire touching the positive end. Use the rubberband to hold the wires in place. Is your electromagnet working - will it attract paper clips? How does it react to Brio trains? (Note: it will get warm - that's normal - it's from the friction of all those electrons pushing their way through the wire.)
For more excellent suggestions of projects with electromagnets, check out these projects from Hila Science Camp
Learn by Doing - Magnets
Learn by Doing - Making a compass
Main page about magnets
Main page about Electromagnets
The invention of the compass
Main Electricity page
To find out more about magnets and electricity, check out these books from Amazon.com or from your library: