This is a good site to use when teaching rounding. It allows kids to see the concept on a number line.
Set the numbers for 1-999, and try to keep the shark from eating your boat!
Drag blocks to the correct places to form a number. Includes millions.
This is a great site to help with rounding. It rounds numbers you put in to the place selected, and it explains the rounding too.
This site has a variety of rounding and estimating sites.