Things to shred
Always make sure that your rats have things to shred to pieces. I always toss any empty paper towel or toilet paper rolls into their cage. They love tearing the cardboard apart. Other cardboards such as boxes work great too. Just make sure there isn't any tape or glue on the cardboard you put in their cage. You can also purchase some great toys for them to shred. Most pet stores have treats surrounded by cardboard that your rats will have to shred to get to the center. Things like this will keep your rats from being bored.

Wheels
Not all rats enjoy running in wheels. In my experience about 1/3 of rats make use of wheels. The only way to find out if you have a wheel rat is to get a wheel. One important thing to note when getting a wheel is to make sure that it doesn't have spokes. Rats will easily injure their tail by getting it pinched by wheel spokes.

Wood Blocks
Rats need to have things to chew. I recommend making sure they always have a few wood blocks laying in their cage. Chewing on these will make sure their teeth don't get too long. Its also fun for them!

Ropes
Rats love climbing. You'll find that they'll often climb up the cage walls. You can get ropes and ladders from the parrot section of pet stores for your rats. Climbing is an excellent source of exercise.