I was at one of these conferences where I did exactly those things — the Lego game & the improv workshop. I’ll be honest — they were a lot of fun. The Lego workshop could work well to help introduce people to the idea that collaboration can help get things done better. But that’s all it would be — an introduction.
The improv was fun — because it is improv. But I couldn’t for the life of me figure out how to actually use that at work.
And, completely concur — people are usually _doing_ Agile, rather than _being_ Agile.