A simple sphere made from three interlocked rings I made one day to show the whole process to a friend.

The dimensions of the rings in the provided stl files are 60mm outer diameter, 20mm height and 3mm thickness. They have been generated with one face at every 2mm of the perimeter and also, a gap of 0.4mm in the slots which gave a nice fit for the rings printed by bot1334.

The zip file contains two more examples (40mm diameter, 5mm and 10mm height and, if I'm not wrong, 2mm thickness) however, I was not using any "gap" parameter for those so... they'll need some cleaning to fit properly.

Some more pics: http://www.flickr.com/photos/aubenc/sets/72157627518857918/

UPDATE:
Replaced the OpenSCAD file with v3 version which fixes a bug in the tolerances between rings. Thanks a lot to foofoodog for pointing this out!!

Print and snap the rings together.