* παιχνίδι (paichnidi): This is the most common word and generally refers to a game or toy. It's suitable for children's play.
* παίζω (paizo): This is the verb "to play." The noun form would depend on the type of play.
* θέατρο (theatro): This refers to "theater" or a theatrical play, a dramatic performance.
* δράμα (drama): This means "drama," again referring to a theatrical performance.
The best word to use will depend entirely on the context of "play."