You could challenge them to devise low-tech, physical zero-knowledge proofs (of knowledge) for games like "Where's Waldo?" and Sudoku, then show them some methods that really work and why. I've done this before with high school CS students and they seemed to really like it.
For "Where's Waldo?" one can prepare a large sheet of paper (at least twice as big as the puzzle page in each dimension) with the shape of Waldo cut out of it. The "prover" puts the sheet over the puzzle so that only Waldo is showing through, without revealing exactly how the puzzle is aligned under the sheet. The "verifier" observes that Waldo is showing through, and concludes that the prover knows where Waldo is -- but learns nothing more, e.g., about Waldo's position on the page (other than the fact that Waldo is actually present). This and another solution come from "Applied Kid Cryptography:" http://www.wisdom.weizmann.ac.il/~naor/PUZZLES/waldo_sol.html
For Sudoku, here is a simple "cut and choose" method.
- The prover and verifier agree on the puzzle that is to be solved (with some numbers already occupying certain squares), and the prover knows a solution.
- The prover chooses a random permutation $\pi$ of the digits $\{1,\ldots,9\}$, and privately fills in a fresh blank grid with the "permuted" solution (i.e., it replaces each occurrence of $i \in \{1,\ldots,9\}$ with $\pi(i)$). The prover covers each square of the grid with an opaque chip, so that the numbers are hidden.
- The verifier then chooses randomly between two possible challenges: either (0) ask the prover to reveal $\pi$ and to remove the chips corresponding to the occupied squares of the original puzzle, or (1) ask the prover to remove the chips corresponding to a single randomly chosen row, column, or 3-by-3 block.
- In case (0), the verifier checks that $\pi$ indeed maps the number in each occupied square of the original puzzle to the number in the corresponding revealed square.
- In case (1), the verifier checks that each number in $\{1,\ldots,9\}$ appears exactly once in the row/column/block.
The protocol is complete: clearly, a prover who knows a solution and acts as described above will always convince the verifier, no matter what challenge it issues.
The protocol is sound: if there is no solution to the original puzzle, then by definition it is impossible for the prover to prepare a grid so that all of the verifier's possible challenges can be answered satisfactorily: either some row/column/block will not have all 9 digits appearing exactly once, or the values in the occupied squares will be inconsistent with the original puzzle. Therefore, the verifier has at least a $1/(2 \cdot 27)$ probability of catching the prover. By repeating the protocol many times with fresh permutations and grids, this probability of catching the prover can be brought extremely close to 1.
Finally, the protocol is zero knowledge: when the protocol is run on a solvable puzzle, in case (0) the verifier just sees a uniformly random permutation of the original numbers, and in case (1) the verifier just sees a uniformly random permutation of $\{1,\ldots,9\}$ in the revealed row/column/block. In particular, in neither case does the verifier learn anything new about what values actually belong in any of the unoccupied squares of the original puzzle.