We just got back from the 6th of 12 physical therapy visits for me, for the knee that I banged up in Denver last summer. It's interesting, doing the therapy exercises with The Boy around, even though he usually spends a good chunk of the visit crying.
Here's how it usually goes: we arrive, I do ten minutes on the stationary bike. He doesn't mind this, as I give him a toy to play with while he sits in the stroller. This particular toy is one that I usually keep in the car and not in the house; so, it's a toy that he doesn't always get to play with. Because it's new, it's something he enjoys. Around minute 8 of the 10 minute ride, he starts to get a little antsy.
When I'm done with the bike, I pick him up and put him in the front carrier, usually because he's starting to fuss and needs attention. I do the standing exercises - the stuff that's safe - with him in the carrier. It's the balance board, side-stepping, heel raises, marching on a small trampouline (not jumping on it, just high-stepping), stuff like that. Stretches. He enjoys this stuff, because it's motion that is unfamiliar to him and because it lets him look at the world from on high.
This stuff takes about 30-ish minutes, give or take. The next step is stuff that I can't do while holding him - bouncing balls, biofeedback machine, that sort of thing. What usually has happened is this - at this time, he's tired, hungry and cranky. I finish off the exercises, feed him, put him down, and by the time I'm done with the biofeedback stuff and icing down, he's asleep. Not before spending five or ten minutes screaming in frustration, though; this isn't a big deal, because it's obvious that he's not crying in agony. Then, I transfer him into the car, from the car in the house, and can usually get five or ten minutes' worth of time wasting (dishes, mail, e-mail, Yankees news, clothes folding, whatever) before he's conscious and wants attention.
At least he's moderately predictable during this whole session. We got really lucky; The Boy is quite adaptable with what he does. I have heard all the horror stories of the babies that are completely unable to adapt to new situations like that. Watch - kid #2 will be like that, to "punish" us for having an easy one.