This usually follows the static electricity one, because it talks not just about magnetism, but also about electromagnetism. In fact, getting across the idea that the two concepts are intimately connnected is the main goal of this demo.
We start by just talking about magnets. Almost everyone has played with magnets at some point, so you can ask leading questions that are sure to give you some good answers: What happens when you bring two magnets together? Do they always repel or attract? When do they do each? As you ask these questions, you can play with the ring permanent magnets in the stick, getting them to attract or repel as you get the kids to asnwer your questions. The point is to get at the idea that there are two ways in which magnets react to another magnet, just like electric charges (remember, this demo usually comes after the static electricity one).
Because these things are all rather small, some parts of this demo only work at science nights, where the kids can come up close and see everything. One of these things is the compass. You can ask kids if they know what we call the two ends of a magnet. Most kids know, but you can just tell them. Then ask if they know why we call them north and south poles, and explain: the Earth is actually a giant magnet, and the magnetic poles are where the north and the south pole are, so we call the magnets' ends north and south poles, too. To illustrate this, ask if they know how a compass works. Most kids know that it always points north, but you will need to add that that's because the needle of the compass id attracted to the giant Earth-magnet. But if we bring another magnet near it, it will be attracted to it instead. You can move a bar magnet around the compass, so the kids can see that the compass needle always follows it.
Another small demo is the one that uses teh iron filings. You can have the kids notice how it's not necessary for a magnet to touch something to pick it up. It just needs to be near. Then proceed to put a piece of paper on top of a bar magnet, and sprinkle it with iron filings. We can see the shape of the magnetic field this way. You can explain to the kids: we can see that the magnet has an effect all around it. This dust is made of iron, so it feels attracted to the magnet, both on top of it and around it. Magnets have an effect all around them that we call a magnetic field. I also always like to point out that iron filings are super easy to get at home: just bury a magnet in dirt, and it'll come out covered in them!
The next part of the demo is where we start mixing electricity in. Ask the kids: do you think it's possible to turn a magnet off, or is it always on?. Their answers are usually that they are always off. Proceed to try to pick up some metal thing with the nail wrapped in wire, but without the battery in. Clearly, you can't, so this must not be a magnet. Then put the battery in, and repeat. You might also want to take the battery out again, with metal clips stuck to your new magnet, so they will fall. Repeat this a couple of time, making a point of showing how this magnet can be turned on and off. Then explain: we call this and electromagnet, because it's the electricity (coming from the battery) that makes this into a magnet. When there is no electricity, it's not a magnet.
Now it's time to bring out the big guy. Make sure to show everyone how the big electromagnet is nothing but a big version of the nail and wire, only plugged into the wall outlet instead of connected to a battery. Show them how it becomes a magnet when you turn it on by leavig some metal things nearby, which will be attracted to it when you turn it on. Then show the kids the wire with a light bulb attached to it, and ask: how could we tell if there was electricity flowing in this? You want them to notice there is a lightbulb, and to think about how we need electricity to turn it on. You might also want to ask them if they think we need to connect it to something to have the light go on. Then bring it aroung the electromagnet, moving it closer and further out, to show how the brightness changes. Then explain: just as I could create a magnet by using electricity, it seems I can also create electricity by using a magnet. This is because electricity and magnetism are very related to one another. In fact, we usually just call them electromagnetism. You can now also have someone play a little with the generator, after you point out all of its parts: it's simply a magnet with wire going around inside. The faster we move the wire, the brighter the bulb shines.
Finally, the gran finale: the jumping rings. This is the part of the demo that puts it all together: electricity makes magnetism, magnetism makes electricity, so we want to combine it all. Start by showing them the aluminum rings are not magnetic, since you can't pick them up with a magnet. But then point out how the nail wrapped in wire wasn't a magnet either, at first, and ask what we needed to turn it into one. When you get electricity as an asnwer, ask: but this is not connected to anything, so how can we have electricity here? What did we do with the light bulb?. Once everyone is clear that in order to get electricity going it needs to be around the big electromagnet, ask one last question: if this turns into a magnet, and this big one here is also a magnet, what will happen to the two of them? what do magnets do when they are near other magnets? Of course, we haven't explained some important details about how this is AC and all that, but no matter. The point is to get kids thinking that these two magnets will either repel or attract. Ask for some more predictions as to what will happen before a volunteer pushes the button to turn on the magnet. You need to make sure your volunteer doesn't push while you're not paying attention, because the ring flies up high in the air, and you need to be ready to catch it. This always gets a big reaction for the audience, so you won't need to ask twice if they want to see it again. However, this time you shoudl switch the rings, and put the broken one around the magnet. After your volunteer tries, unsuccessfully, to make it work, ask them whether they see any difference between the two rings. Then explain: this ring has a cut in it, so electricity can't go around it. Since we needed electricity to make a magnet, that means we can't make this one into a magnet.
You can also use an aluminum foil ring to show how it moves a very small amount, thus relating the strength of the magnet to the amount of current that can flow through the ring. But this is a very anticlimactic way to end the demo, so make sure to give them one last big jumping ring show before you finish!