I always make sure to bring things for them to keep them happy and well-behaved. We bring a couple of race cars for my son and my daughter usually brings a small doll or two. I also carry a pad of paper and/or a couple small coloring/activity books (they love mazes!) plus crayons for when they move on from the toys they brought. For longer events, like a wedding, we usually pick a few small books to bring as well.
If we still need things to do, because sometimes their attention span is shorter than normal, we play eye-spy, we sort and count things on the table and in the room and if necessary we go exploring.