The Trammel of Archimedes is a device used to trace an elliptical path. It is sometimes made as a novelty and called a "do-nothing machine" or a "smoke grinder." It is extremely easy to print and assemble but hard to put down.

Wikipedia has an awesome .gif of it in action
http://upload.wikimedia.org/wikipedia/commons/9/9f/Trammel_of_Archimedes_Large.gif

The arm could be made more complex, to add a handle or pen holder, but my aim was simplicity. I didn't want to distract from the motion of the device.

Edit: Base-V2. Made some slight changes to the base. Fillets on some of the external faces to get rid of the sharp edges and smoothed out the internal sharp edge the slider would occasionally hit. This should give a smoother motion.

Print one base, one arm, and two shuttles. I recommend using multiply to make the shuttles as it does a better job printing the narrow rods.

You may need to file any rough spots off the tracks or off the shuttles.

Assemble as you see fit and crank to your heart's content.