Did a team building exercise ever work for you?
That is, did you ever do some off-site work gathering, like finger painting, in the name of 'team building', and after it was over, maybe the next day or week at work, you thought, "Huh -- that team building might have actually worked at least a little bit."?
In my experience, team building exercises just help you get more comfortable with your co-workers, regardless of whether or not each individual recognizes that it's happening.
Pretty much every "lets do some thing together where we interact and have fun" works IMHO. If it's promoted specifically as "a thing to do for team building" it's easily too artificial. Go play laser tag, go to the zoo together, whatever. Physical activity is good, as long as it's something everyone can do reasonably and is comfortable with.
In my experience team building exercises have a noticeable, but ultimately short-lived effect.