Basically, you collect safe household items, put them in a basket or bag, and then let the baby explore!
The first time I did it, I used a bag. In it, there was a wooden spoon, a tupperware container, a paper cup, a noisemaker toy, a squishy toy, a taggie blanket, and a whisk.
I think she liked the bag; it made some crinkle noises.
Although I don't have a picture of it, the first thing she grabbed was the wooden spoon, probably because it stuck out a bit. Here are a few other pictures of her exploring the contents:
The next time, I used a basket. I included a wooden spoon, small wooden cutting board, one of her headbands, a noisemaker toy, a small piece of tupperware, a rice bag, two napkin rings, a crocheted hot plate, a napkin, a cupcake wrapper, and soft mallet.
This time, instead being propped on the couch, she sat on a blanket on the floor and only toppled over once, even as she was reaching for things. :)
She immediately went for the wooden spoon again, maybe because it was familiar to her. Or maybe she'll be a chef. :)
I'm pretty sure she got to everything at some point. She loved the cupcake wrapper (noisy!), but I had to take it away when it started to tear. I think the napkin was the least interesting to her (boring!).

Eventually, she became very interested in the basket. So of course, I put her in it. :)
I knew she was getting tired when she laid down to play. Time for a nap!
I think I'll start to theme the baskets: kitchen items, fabrics, toys, maybe even an outside one with leaves and rocks. It's fun watching her explore the items, feel different textures, and hear different noises. And the bonus is: no expensive, bulky baby toys in sight!