The Engino Toy System uses a variety of uniquely designed multifaceted rods and connectors that may be connected on up to 6 sides at the same time. I've posts in the past about their educational sets focusing on gears, cams, linkages and pulleys. The one shown here teaches all about screws including how worm gears are used to greatly lower rotational speed, and how screws can convert circular to linear motion while greatly increasing torque. Valuable lessons indeed for anyone trying to get their head around simple machines.
The 40 page instruction/activity book show you how to build 5 working models including a screw press, a lift platform, two types of crane, and a vice -- all examples of the screw in everyday use. The activity book also includes explanations of various technical and scientific principles and how they apply to the screw.
Here is where you can get the Engino Mechanical Science's boxed lesson set on Screws.