A big +1 on the Roth IRA topic/exercise. I've done that with 4 of our 5 who have had summer jobs each year (and will with the 5th teen when he's old enough to get a W-2 paying summer job). I provide matching incentives. Financial journalist Dan Kadlec coined the term "Family 401(k)" for this arrangement, and I think it's brilliant in so many ways. To make the Roth concepts stick, I've found it helpful to walk the teens through a spreadsheet showing their contributions so far and modeling future ones to show what the accumulated value could be by their golden years assuming a 6.8% return on their index funds. The bottom line entry definitely gets their attention and drives home the power of patient, diversified investing over the long haul. I like to show them what I call the "deadbeat" scenario on the spreadsheet too for grins: even if they stopped contributing right after college, they'd still amass a tidy sum.
Another worthy topic is "Net Worth." I maintain a historical net worth spreadsheet with each of the kids. It includes with columns like Checking, Emergency Savings, College Savings, Investments, Retirement (Roth IRA). We add a row and review it each quarter. The repetition is key, because I've found it takes some time for the concepts to really soak in. Each session yields a little more clarity and understanding (not to mention ultimately appreciation).
Lastly, I like to walk each of the teens through the process of filing a tax return (TurboTax free file). The carrot is the refund (if they've done some withholding). The refund also provides a convenient lump sum for the Roth IRA contribution for the Family 401(k) arrangement.