Stewart Coffin's Peanut Puzzle, modified by starting from 2.5cm (about 1 inch) diameter spheres. The six pieces are all different. This puzzle assembles into many different shapes, shown in the photos. Interestingly, in the wood version of this puzzle, the "Triangle" shape is impossible to constuct - but using spheres, it is possible.
The pieces will fit tightly out of the box. I recommend scrubbing them with a toothbrush in soapy water for a perfect fit. One finishing technique is to dye each piece a different color.