If your focus is western, maybe try having a gymkhana day.
Set up two sets of poles, let all the kids go through them timed (if they're super beginning, even walking them will be fun. Some kids may jog, and your more advanced students may lope).
Keep a score board, and have simple prizes - cheap lead ropes, hoof picks, etc.
You can make a day of it - barrels, poles, flag picking, keyhole :)