Obstacle courses are a fun way to practice physical skills for kids. Almost anything will work for obstacles too. Cups filled with gravel can create a slalom portion, sticks across buckets can be used for crawling under or jumping over, an old wooden plank (free of nails and screws) can be a balance beam and items hanging from trees just out of reach (so they have to jump to hit them) can be a great addition too.
Use Hoola hoops tossed near each-other for agility obstacles, or for kids to jump from one hoop to the next. Get creative and use parts of lawn games as standards in your obstacles series.
When kids are learning their colors, set up a whole bunch of obstacles and then put flags of different colors by each - kids only do obstacles marked with a certain color. Likewise you can use shapes and have them only do the obstacles with the correct shape.
Mark obstacles with numbers for counting practice. When they start to learn to count by 2's, 5's, and 10's you can mark the course with numbers. They have to follow in the correct "skips" numbers.
Mark obstacles with shapes for shape recognition. . .