I like to take my horse jogging with me during the nicer months of the year
I think it helps her keep seeing us as a "herd of two" when she has to follow my lead on the ground for longer periods of time, plus it's kind of funny to see the looks we get when I tell people "I'm out walking my horse today."
Another game I like to play is "follow the leader." I'll hold a piece of some food item I know she likes in my fist, let her sniff it and know its there, but she isn't allowed to have it until I say so. So she follows the hand, we'll do walking, jogging, backups, spins, and we just started more complicated things like bowing and stepping up on platforms. Be careful you don't teach them to be lippy or food eager though, I don't give the treat unless she is standing quietly and respectfully (looking with ears pricked and "asking" is okay, she just can't be lipping towards my hand). Though we've gotten to days when we don't need food anymore, makes it even more fun
Watching this thread, interested to see what other people do and maybe get some new ideas