Music is a wonderful medium for play. Even young children love to bounce, sway and wiggle to the music.
When they get older, you can make instruments such as paper plate tambourines, an oatmeal box drum, or noisemakers from paper towel rolls, or filling up 20 oz. bottles with various things to make noise (rice, water and confetti, beans, coins etc).
This is a great way to get the children to march with their knees high for a parade or play "follow the leader".