In addition to being a great sorting activity this activity is also excellent for fine motor development. I got the Rookie Stix from For Small Hands, a great Montessori resource, for $4.95 for a set of 2. My daughter grasped the concept immediately and was so excited to use them.
You can use them to sort a variety of things. In the picture my daughter is sorting small pony tail holders (which she LOVES playing with) but I also have small different color pom poms (bought for cheap at any craft store) that she loves too. The "sorting" tray is used for paint, got that for super cheap at a craft store too.