Go to Paper Enigma Machine, download this one-page PDF file; print it using heavy card stock (recommended). You can then cut out the strips, and follow the directions on the page to build your own fully functional Enigma machine. Author says:
This machine is compatible with the original 3-rotor German Enigma used during World War II. For simplicity it omits the “ring settings” and plug board, but the primary workings of the machine are captured in this model. Great as an educational tool, or just for fun!
Read more about Enigma here.
Also see Enigma Simulation in Flash.