I have 3 bunnies myself

2 lionheads and a holland lop-eared bunny. When they are out of their cage they mostly like to chase each other around, but some of the toys you can make are the following:
-wicker baskets! they love to chew them and it's safe, as long as the material is untreated. They are also very light, so if they end up flipping them over and jumping inside and stuff, they wont get injured.
-toilet paper rolls. they love rolling them around all over the place.
-Cat tree with several tiers! they like jumping all the way to the top and look around from there

One of my girls, Princess, also likes to play with seashells, the kind you pick up at the beach. i put them in a small clay bowl and she likes to pile them up in a corner on the cage, or flinging them off the table.
I've also got some seaweed mats around the cage for them to chew on

i find it weird, since wild bunnies have no access to seaweed, but hey, whatever works...
When it comes to the hay thing, it's really important that you get him eating it ASAP. It's the primary way they have to keep their teeth trim and a clean intestinal track because of all the fiber. You could try feeding him dandelion leaves or clover leaves and flowers to get him started, most of them love that
