The Marshmallow Challenge is one of my favorite activities. Since learning about it at IFVP 2012 from a former Disney trainer, I've seen it help dozens of groups realize the importance of team dynamics, fast failure, iterations, and facilitation. Unfortunately, it requires special materials (marshmallows and spaghetti), which means planning and preparation. It can't be done on the fly.
Another activity that CAN be done using standard facilitation materials is "Build a Bridge" from Interaction Associates. Groups of four to six participants must build a freestanding bridge that's four feet long and stands two feet off the ground. It must support a grapefruit-size ball of paper and tape as it's rolled along the span. The bridge must be freestanding, not connected to any other object. It must also be movable.
Participants have six sheets of flipchart paper, a roll of tape, scissors, and beverage service items like three or four cups, plates, and swizzle sticks. They must choose a team lead, plan for ten minutes, build for eight minutes, and then evaluate for ten minutes (using plus delta.)
Any number of concepts can be demonstrated or drawn out of this activity, including those from the Marshmallow Challenge. A powerful concept are Interaction Associates' "Dimensions of Success," which show Results, Process, and Relationships. How did the groups do on each of the dimensions? What happens if one is missing? Ideally, "Building a Bridge" will create team dynamics in the safe space of your event that participants can draw powerful lessons from.