I've had various different kinds of team-build activities; some successful, and others not.
One of our events was a day at Pladiyum (an arcade). It was awful; especially for any females in the group who weren't into gaming. We had the event designed by Pladiyum themselves, and it mostly focused on 'competition' and splitting up the team to see who would win...It wasn't nearly as friendly as it should be. I imagine it was because most people had been to an arcade before and knew whether they liked it or not.
Out of the many successful events we had, both involved doing an activity that most people hadn't done in the group. So most people had something in common, and the experts were excited to teach everyone. This was particularly nice when you have a supervisor vs. subordinate, because now the subordinate would be the one that's teaching. One of these events was rafting, and another one was Golf.
Golf was particularly nice for me. I am not someone who enjoys watching Golf. I lack patience, and need "speed" to really have fun. However, the way they organized the event was very good. They had teams of 4 (4 per golf cart), one of which was an expert, one beginner, and two in between. The expert would encourage folks, answer all the silly questions...etc. The game was never about winning, instead just learning. I loved it. I probably wouldn't waste $$ going to golf, but I wouldn't mind going again :)
So..all in all I'd recommend an event that doesn't single out folks and gives people an opportunity to learn. Even though our group was of 4 people, once I became comfortable around them...we started joking around, talking to other folks (as we are waiting for their turn), etc. Plus the BBQ afterwards was awesome :)