I'm not the most creative person, but I like to set up ground poles around the parameter of the round pen and work the horses over them. Also set up an obstacle course, though small, and worked from the saddle. I used 2 barrels with cavaletti in the middle and put a small bucket on top of the barrels with small flags that we picked up and carried to the opposite barrel.
After a birthday party, didn't want to waste the helium balloons, so I tied a few to the rails in the round pen and worked the horses. They got quite comfortable and almost amused with them at the end of the session.
Thought of putting a kiddy wading pool in with sand on the bottom for good footing, add water and viola a small pond! But seemed like a lot of work.