I desperately hate most team building exercises. I've had people tell me to relax and enjoy the time away from work. Doesn't work for me, because I'm salaried -- any time spent doing "fun" things during work will mean that much longer I'll have to work tonight or on the weekend.
My old work group was the worst for bad teambuilding exercises. One of the activities was the "3-person skiis" -- two planks of wood with 3 sets of foot-straps on them. Three people stand on the planks of wood, feet in the straps, and try to figure out how to work together to walk. Except, the planks weren't very stable, and so we started to fall as we tried to walk. When I fell over, my foot wouldn't come out of the strap so my foot stayed upright while my body went sideways -- ankles aren't meant to bend that way, so I ended up with a sprained ankle (they weren't using breakway straps because the last time they'd tried to to this "people were falling over and popping the straps" -- duh).
Even after I got hurt, they kept making people do it! Someone else fell onto the concrete floor and hurt her head -- had to go to the emergency room. Injury reports were filed against the supervisors in charge of this, but nothing happened.
This same group has a broomball tournament every year (running around on ice pushing a ball with a broom). It's held after work, and is not optional -- even if you don't play, you're required to come and cheer (if you don't some, you're labeled as "not a team player" and won't be promoted). You can't complain, because it's "fun", and the company pays for the alcohol and snacks! Yay! How ungrateful of you to think that your free time is worth more than a few bucks worth of drinks and food!
Every year, several people get hurt playing. They take pride in the fact that people get hurt doing this. Getting hurt together apparently builds team spirit!
This is why I'm now in a group where teambuilding mostly consists of "I brought in donuts for everyone". Go team!