I bet you never thought to see the word "fun" attached to "grammar lessons," but indeed over here in the wild and crazy Adams' house, we are having fun with grammar. A while back I ran across references to a Google book called Grammar-land, which intrigued me enough to download it.
Instead of regular grammar text or workbook, Grammar-land is written as a story book to the children of Schoolroomshire. At the end of each chapter, Judge Grammar asks the children of Schoolroomshire to do a task, which, of course, is really the grammar exercise.
I've been reading a chapter or two each week for the past few weeks and the kids are enjoying it, especially the oldest. The five year old is having trouble with the exercises, but likes the story, which is plenty for a five year old, as far as I'm concerned. The oldest, being something of a nerd (if you haven't been following along here) is mostly disappointed that we don't read Grammar-land every day.
Although not strictly necessary, when I found that another homeschooling mom has been making worksheets for each chapter, so that the kids don't have to write everything on their own piece of paper (or slate, if you want to be truly Old School), that has made the book even easier.