What's the purpose of the training?
Team building is so general. Are you trying to create cohesion, get them strategise better, learn to think about outside elements affecting their markets, what?
Then you design a program suited to the goal you want. Else it just becomes a day out of the office.
Also there should be take home points/action items/momentos that they can keep reminding them of the "emotion" of the event.
There are books on Team Building games but it all starts with what the goal is. Ours have ranged from splitting them into teams and playing games, to putting together presentations on zany products, to trading games using interesting commodities, to more deep rooted stuff discussing what their greatest achievement was, what they aspire to do etc.
Don't forget to add an ice breaker task to ease them into the day.