Instructables user I_am_Canadian writes:

This is a simple little chess set that I have come up with. The cool thing about this chess set is that the pieces don’t just sit on the squares on the board, they actually clip in to it. Metallic and standard piece colors are needed to make this chess set usable. This could also be used as a checkers set, but everyone knows chess is so much better.

Check out the how-to for making your own Knex chess set.