My son shows strong interests in math and he is currently a 4th grader. I wonder if there are any good books that could be used to keep up his interests and at the same time challenge him a little bit.
You might try The Number Devil: A Mathematical Adventure (Amazon), although it's more "fun" then "exercises". (I'm glad you included "fun" and "interesting" in your question; nothing better to destroy someone's interest in math than a bunch of "exercises".) That's the only one I can think of that's written for children right now. But depending on how much of a reader he is, you might consider the "pop math" stuff written for adult audiences. Look up "recreational mathematics"; try Martin Gardner or Ian Stewart perhaps. If he's up to it, take him to the 510s of the adult nonfiction section of a public library (and the rest of it too!). I certainly had a lot of fun there in elementary and middle school.
He might enjoy competitions and summer camps (especially in a couple of years), which have the additional benefit of providing a community of peers. If you're in the U.S., you might look into MATHCOUNTS, Art of Problem Solving (books, online classes, videos, and forum), MOEMS, Khan Academy, CTY, and MathPath. I've only had (very positive) firsthand experiences with the first two, but people have recommended the others.