From UK information security consultants Franklin Heath Ltd:

Although the Enigma cipher as a whole is quite complex (it’s complexity is comparable to modern cryptographic algorithms) the individual transformations within it are relatively simple. In fact, they are simple enough that you can decipher an Enigma message with just a paper model.
Our model is three-dimensional, to illustrate the wiring of a real Enigma machine. It needs only common household items to construct, and is completely compatible with all settings of a real Enigma machine (models I, M1, M2 and M3).

Their wiki page also includes a brief history of paper enigma models that traces the origins of this method back to Alan Turing’s hypothetical “comic strips” model from his 1942 Treatise on the Enigma. To make it, download the PDFs, print them out, cut them out, and apply them to a 75mm diameter cardboard tube. [via Boing Boing]

Enigma/Paper Enigma