Programmable lego sets that offer a fairly simple programming interface. There is also a free online Lego simbot which overlaps with Logo.
Control applications offer a good visual way to learn programming concepts. Flowol is a popular one used with students.
Game maker is excellent and free and allows for both drag and drop and coding.
For the final stage I would recommend alice for OOP but without the headache!
One thing I'm going to try with my 10 year old is Yahoo Pipes
Code for Fun says I would highly recommend KPL(Kids Programming Language)...It's like BASIC on steriod..KPL is base on C#.
why, the luck stiff, put together an environment specifically designed to get kids interested in programming. It's based on ruby and specializes in creating applications that would interest kids, such as a blog or a music player. This is why he did, here is how you can get it, and here is more info about it.
Article Link (Wired)