You really want to use your imagination when it comes to preschoolers. 
Take for instance playing games with them. We often do the games where you throw some kind of small soft object and aim for a basket, bucket or tote of some kind. This gets them going, especially if afterwards you give them some kind of treat or small toy for winning, all of the children win of course.
We also play memory, the age old game of flipping cards over and matching them up, we do it a little different though, we only use about half of the cards. The kids seem to get too overwhelmed when there are too many cards to choose from and remember. As they get older you can add more back to the game.
Another thing you can do is considered classroom games, File Folder Games. There are many to purchase online, but I have found a few great links to share that offer some for free. We like all of them, but like I said the free ones are pretty difficult to pass up.
http://www.activityvillage.co.uk/file_folder_games.htm
http://www.enchantedlearning.com/filefoldergames/
http://www.webeans.net/hutt/ffgames.htm
Enjoy!
I got the clipart for this post from www.cutecolors.com Be sure to check them out.