I recommend you develop your own team building exercises where possible. No outside consulting company knows your company culture as well as you do. You can do a variety of exercises or play a variety of sports. I have built successful team building exercises around golf (for non golfers) and bowling. Another currently popular team building exercise is Paintball. About's Paintball Guide
explains the basics with these articles.
Here are some additional resources to help you craft your own exercises:
Creative Icebreakers, Introductions, and Hellos
From Business Training Works, details of 15 exercises from which to choose.
TV-based Team Building Events
American Outback Adventures & Events offers team building events including several based on popular TV programs.
If you do decide to go outside for consultant help, here are a couple of ideas:
City Challenge conducts this orienteering-based exercise in over a dozen cities, primarily in the UK and Europe.
The Lost Dutchman's Gold Mine
Performance Management Company's classic game is one of my favorite collaboration exercises.
Here are a variety of rope courses offered by Adventure Associates.