If you have an Arduino kit it probably included the "28BYJ-48" 5 volt stepper motor. This motor is very common and available on ebay and other places for next to nothing.
Anyways, here is a reciprocating slide mechanism for this very motor. I wanted something that moved in some interesting way. Just watching the axle spin around with a paper clip stuck to it was pretty boring. I started out making just an arm, but why stop there? So it became a whole mechanism.
Update: Added a base with some extensions on it, in case your slider is a bit loose/unbalaced and tends to tilt down at the end of the strokes. Both files are there, chose whichever you like. Also added a top for the axle on the slider.
As always preview images are all the wrong way. Just print with the flattest side of the part down and you are good to go.
Most parts can be printed without supports. The slider needs some supports since it has an overhang. Be shure to clean out the grooves so it slides nicely. A drop of oil won't hurt either. The "leg" part also should have support since it has a little edge there to fit into the part that holds the motor.
Use more layers if you need to drill out the screw holes. Screws used were small 2.5 x 12 mm Universal Screws with countersink heads. That's 0.0984 x 0.472 inches for all you imperials out there. The screw holes are 6mm (0.236in) wide. The washers are M5. Use glue (Or acetone if you are doing ABS) to fix the top on the inner axle.
If you don't want to fiddle around with the axle parts (May need a bit of sanding to fit, it get's kinda small.). You can just use M5 screws instead. More layers rather than more infill seems to be the way to go to get the axles printing right. Just make those things solid since they are so small anyways.
Tip: When running a step motor you may want to hook up some external power to the power plug on your Arduino (It will chose external over USB automaticly.). A USB2 connector might be a little short on power. It will run ok, but you might get away with shorter delay times in your program (Which usually means more speed.) if you have more current to play around with. And once you are done with the simple 4 step one coil program you want to do the more power hungry complicated pulsing schemes anyways (More torque, finer steps etc).