Instead of just doing exercises, it is fun to use games that require sequencing.
Lately, we have been having fun with hopscotch:
We are in mid-winter here, so we actually are using the inside tile floors as a grid for our footwork. We often don't play exactly by the traditional rules. We may change up the order of the feet or the number of tiles in between the feet. We may sing a rhyme while we do it, or try to name colors as we jump. There are so many possibilities, and it is fun to have him involved in making up a sequence that we try next.
We have also started play hand clapping games:
Remember those good old games where you would chant or sing-song while clapping in a variety of sequences. They are great for this skill, and can be made as simple or complex as needed. I have been remembering some oldies but goodies, and introducing my son to this style of game.
Here is a great website for ideas and rhymes. Check it out!
And last but not least, stair hopping.
If you have carpeted stairs, try doing hopping sequences up and down the bottom stair. For example, your child can try right foot up, left foot up, right foot down, left foot down (10 times). If you have an older child, they may have the strength to hop up with both feet and down with both feet. Then you can combine for extra difficulty: up with both, down with both, up with right, up with left, down with right, down with left, and repeat.