I bought some generic shaving cream at Target a few weeks ago in anticipation of having a yard. We have a perfect cement patio outside for making messes. So I filled a bucket of water, put a plate full of shaving cream on top and just let the boys have fun.
This doesn't have to be done outside, I'd suggest doing it in the tub to keep the mess contained and well, it's starting to get chilly almost everywhere right now! The boys had so much fun playing with something new. Isaiah was a little hesitant to make a mess (a clean child...what!?) but he had his own version of fun. Julian? The kid was in heaven.
I also considered this a semi-bath. Win-win situation for all of us, right?