I taught my Pony to free lunge -- he lunges in a circle around me without a lunge line and without being in the round pen. I guess it isn't something that is terribly practical, but I personally really enjoyed thinking about how to break it down so that he would understand what I wanted, and then teaching it to him. He picks things up really quickly so teaching him things is usually really rewarding.
You can free jump a horse, apparently a lot of horses enjoy that.
"Saddle fit -- it's a no brainer!"" - random person