my grandpa and dad would make "cars" out of them for me and my cousins. if the spools were wooden (and they all were, back then) they would notch the edges of the spool to give them a bit more traction. i found a tute:
http://www.scidaho.org/Library/Outreach/spoolCars.pdf
the cats used to love to chase them, too...
we'd paint them, and make necklaces for mom and grandma--nailpolish odds and ends make good "paint" for that. we'd make paper beads to use as spacers, out of old magazines, as well-- a long, skinny triangle of paper with a swath of glue on it, wound around a toothpick or skewer, and gently slid off to dry.
glue and glitter with the paint, and a pipe cleaner through it to make a loop, and hang them on a christmas wreath or tree. pipe cleaner around it makes pretty "thread" on the spool.
the bigger ones we used as blocks, for stacking into little castles and villages.
they were prized when we were little. they made a great rainy day diversion. and i still share the "i can't toss them out" affliction.