Some game things:
Egg and spoon (not a real egg at first!)
Poles & Flag- pick up a flag off of a barrel and weave through cones, then drop the flag in a bucket at the other end
Jump Position Quiz- tell them to stop at a certain point and go up into jump position. Ask them a question or tell them to make up a math problem or something and solve it. They sit down when they answer it.
Yoga- ask your students to lean down and touch their toes, stand in the stirrups with a hand on their helmet, that sort of thing.
Are your students english or western?
To keep them focused and make sure they are retaining information, ask them questions periodically and predict what will happen in their next lesson, goals, etc.
Good luck and have fun!
Odd how we can wake up in five seconds at 3:30 for a horse show, yet barely be able to drag ourselves out of bed when we get up for school/work between 5 and 7!