We really like the metal spinning targets--can usually find them cheap and they hold up well to .22
I've used small balloons. I'll sometimes use old ceramic stuff that should have been thrown away. Breaks up into little pieces--when they get real small, then I'll take a try at 'em
I like to use things that clean up easy or, like the ceramic/pottery junk, bust up real small and leave a pretty small mess that easily mixes in with the sand/dirt.
It's important to make it fun, but it doesn't have to be over-the-top. Teach good fundamentals and safety always