Your pen pal may be an electronic pen pal. What I mean is that you send emails back and forth. The only caution that I will throw out here is that since the response time can be quick, sometimes the fun wears off quickly. Also, watch out that your kids don't get into "texting" lingo (lol, yw, ty, lacking punctuation, etc) while emailing.
Your pen pal may also be the old "snail mail" kind of pen pal. You will be teaching your child to answer questions in a previous letter, writing complete sentences, spelling, punctuation, good handwriting skills, filling out an envelope properly, and patience!!
If your little one is too young to write an entire letter, then have him/her draw a picture about something he/she did recently and write a sentence or two. If you are a speech therapist or teacher, think about contacting another SLP or teacher in your district to set up a pen pal system for a few kids!
I was given a pen pal when I was in the 4th grade. Her name is Ashley. We began writing because our teachers were sisters-in-law! She lives in Wisconsin and I was in Texas (at the time). We continued to write through middle school, high school, college, graduate school, she came to my wedding (that was so awesome), and we still write today. It was so wonderful to have someone to tell all my secrets to (she couldn't tell anyone there that would care) and it has been so nice to form a relationship over the past 20 years!!! We don't really use email or fb - we still write. There is something about getting a letter in the mail that is hand-written.