Birds will play with all kinds of things. The most important thing is be sure they are non toxic, doesn't have small pieces that can be ingested, and has no sharp edges. Plastic straws probably aren't a good idea as if the bird shreds them it could eat/choke on small pieces of plastic. Toilet paper rolls, plain white copy paper cut into a "fringe" works well(they like to destroy it), small pieces of non-toxic wood(apple, manzita), hard plastic bottle caps, bells tied to hemp rope(use open bells, not crimped ones, they can get their toes and beak caught in those) crumpled up paper balls, small cardboard boxes all make good, cheap toys that can be replaced when they get too shredded. Food can also make a good toy. Fruits and veggies tied to a piece of hemp rope, hard nuts, uncooked spagetti. Take a toilet paper roll, but some pellet food in it, stuff the ends with balls of paper and poke a few small holes in it for the pellets to fall through, the bird will enjoy "foraging" by knocking the tube around. Just use your imagination.
I don't know if budgies will chew them (I can't imagine why not), but if you get the big bag of clothespins they sell really cheap at the dollar store (just plain, no inks or colors or anything) and remove the metal part (so you have two separate wooden pieces), parrots will enjoy chewing them up. They don't last very long (one to three pins may last a day), but they are extremely inexpensive.
Also +1 to what T-ReXx said. Use your imagination, budgies aren't all that picky when it comes to play things. Take a look around your house. Just make sure its non-toxic.