Blow up a balloon and let the air out, either at a child or a cotton ball on the table. This will show them the concept of air. You can’t see it, but you can feel it. Also, you can make “music” with it. Pull the opening tight to make the squeaky sound.
We do a themed week called “up up and away” we make kites, windsocks, hot air balloons, paint with balloons, etc. On Friday of the week the kids all set off balloons with the daycare address on a self-addressed and stamped envelope ( I put an envelope in a Ziploc bag to protect it) I hook the bag to the string on the balloon and if or when someone finds it they can mail it back to us. The kids love it and we have had a lot of success of getting balloons back with letters, about 50% and some far away!