Mad Libs come in books and they are stories, with words missing.  You have to ask someone to give you a noun, verb, adjective, and so forth.  Only the person that is writing the words knows what the story is about.  When you read back the story to your participants, it is often very funny.  I enjoyed these so much as a child that I used them with my older children.

My 5 year old boy has a magazine that had a page just like Mad Libs.  His sister asked him to give her the words and the result was very funny.  The part that I thought was really interesting was my son's reaction.  First of all, he likes to fish.  He just came back from a trip with his dad and they fished for three days.  The Mad Lib that they played was about fishing.  That might have added to his extreme interest in the story.

He has walked around the house for the last two days reading it and rereading it to anyone who will listen.  He can't even read it without cracking up.  He thinks it is the funniest story ever.

You can really create a Mad LIb with any story or book.  You can do a familiar story, such as The Three Bears.  You can leave off the word bears and ask your child to tell you a noun or an animal.  You can go through the story and substitute words for some your child gives you.  I guarantee this is a fun way to learn the parts of speech.

Here is a link to play Mad Libs online.

The one my son did came from National Geographic Kids.   You can find some of those here.