Being a manager isn't all fun and games, but there's no reason being a manager can't include some fun and games.
Doing fun things takes little time, increases productivity, and bonds a team together better and more strongly than just working together would do. It can help remove some of the rough edges between relationships, but most of all, it really improves morale. They like each other better, and they like you, as their manager better after a little time to have some fun together.
Some companies will actually pony up cash to take a team out to lunch or pay for pizza, but most of the time you're doing your own morale stuff. With that in mind, you want to cover these bases when planning an event:
1) People actually want to do the event. They may not be up to their ears in stuff for your project, but they might be for other projects. Or they may not be comfortable with each other enough yet to want to spend time with their team when they could have that time to themselves, to go to the bank, and/or to leave early and be with their family or Xbox.
2) People can afford the event. If the company isn't ponying up, unless you're made of money, they are going to have to participate in the funding of the event. This means working on a budget and being careful; not everyone is paid the same and you really, really, don't want them to start talking about how they are paid for various HR and sanity related reasons. Also, some may have small kids and stay-at-home spouses or may be taking care of elderly relatives or have high medical bills...people don't like to advertise that they're short on cash or why. It's a delicate line to walk in terms of making sure everyone feels included but no one feels obligated or put upon financially.
3) People can actually attend the event. This includes the timing of an event (during a work day v. evening v. weekend), but it also includes cultural content of the event; I had some lovely Indian ladies who were pure vegetarians and therefore could not attend any events that involved food unless they were vegetarian, because the smell of the meat products on other people's plates made them ill. Sometimes it even includes the content of the potential allergic factors at an event: a co-worker with a nasty contact allergy to onions and garlic, for example, was only able to order a salad with no dressing when we all went to Olive Garden for a going away party because everything else on the menu had garlic and/or onion.
4) The company/your boss is okay with the event and the timing of the event. Some companies, for example, frown on teams going out for alcholic beverages, as it doesn't meet the standards of the company. This may mean if anyone on your team has so much as a beer at lunch, they cannot return to the office until the next day, or that upper management may decide on disciplinary action for you engaging an event such as this with your team (during company hours or not).
5) People can actually participate in the event comfortably. For whatever reason, the last couple of companies I've worked for have been hot under the collar to go do Paintball sessions with employees. I'm not fond of pretending to shoot my colleagues (no matter my occasional fantasy of doing so), and I certainly dont want them shooting me, paint or no. Some people may not be physically fit enough to do these types of events, or may have physical disabilities that they aren't eager for everyone to know about. Wine tasting might be out if you have folks that are, for example, recovering alcoholics or whose religion prohibits the consumption of alcohol. A lot of companies have wanted to take the teams out to baseball games, which seems very innocuous until you consider that even with sun screen my lily-white skin burns lobster red in just a few short hours--I'm the type that goes from pale to red, peels and looks like a burn victim, then returns to pale. Extended periods in the sun are not my cup of tea, let alone watching a bunch of guys with perfectly good bats not actually hitting each other with them.
Sad, right? As the manager, the fun in "fun" events is pretty much for the employees. Trust me, though, once you've got a handle on these items, the fact that they are happy will make you happy, too.
There are events that can cost little to nothing: two hours within the work day to watch a movie and eat popcorn in a conference room, for example. Playing group-oriented board games--one of my teams absolutely loved Apples-to-Apples, to the point where I had to monitor them carefully to avoid HR issues. Ordering pizzas and salds (to accomodate all tastes and dietary restrictions possible) and shooting the breeze. Going to a resteraunt the entire team can agree upon.
At one place I worked, we had a militant vegan. This is to say that she lectured on the problems with meat products of all varieties whenever we went out, and usually had a hard time finding things to eat (We also had to have a discussion about asking people how they enjoyed murder every time they took a bite of a burger). Solution: have her find several resteraunt choices and then orchestrate which one the team wanted to go to. She could go to resteraunts with "friendly" animal acquisition ("free range," for example) and which had plenty of vegan dishes she could enjoy. Also, a long talk about offering vegan options to the team rather than just throwing around terms like "murderer." This led to vegan cookies and cakes appearing in the office, and actually did change some behaviors on the team (according to them); they made different choices in the grocery store, for example, or snaked her cookie recipe and at least made one new dish without animal products. It turned into a bit of a win for her, and the rest of the team actually started enjoying it, too.
Once you've figured out what works when the sky is not falling, such as when you are in crunch mode, you can employ some of these when you are in crunch mode; knowing what pizza options are close by/deliver for folks working late or through lunch, for example, is invaluable. Knowing the team really enjoys movies during the work day means you can offer that to look forward to if they end up working on the weekend. These morale options don't make up for harsh realities of crunch time--in many cases they don't come even close. But, they do let your team know that you're trying to make it as good for them as you can, and there is a light at the end of the tunnel (that is not a train).
Morale and team building should be a tool in your managerial toolbox; carrots and sticks work well with teams. I prefer more carrot than stick, because people who believe you care about them and will take care of them will do far, far more for you than people who resent you or fear you. Including yourself in these exercises, as a member of the team and not the manager, humanizes you and makes you more approachable for things that may be outside of the morale event. Finally, if people like the people with whom they work, they are going to enjoy their work more and be more productive.