I've tried the pen-pal thing too with my nieces who are 400 miles away, but I have also found they don't always write back!
My nieces are old enough to use computers and email so I use email to send them little notes to ask about their latest school project or just talk about everyday things that I miss out on. We also Skype occasionally, though not as often as I'd like.
Once in a while I send care packages, cards, or small gifts not only for holidays and birthdays but also for no reason at all, just so they know I am thinking of them.
I've started a blog about staying connected with my nieces, feel free to check it out: