We usually go in the afternoons, so I pick them up from school and then take them out to lunch.
One of my dearest friends always wraped a little gift for each of my girls to open while at their appt. It has been things such as little Polly Pockets, Little Ponies, coloring books, Mad Libs (FAVORITE!!)...depending on what their age was and what they were into at the time of the appt. I recently told her to stop doing it b/c they just didn't get as excited about the little gift anymore...it's hard to find something that they will find interesting at the age they are now (in a decent price range!). But when they were little, it worked great!
We used to try going to the St. Louis Zoo after appts. when they were little, but it was just way too much!