Um, not really. I like to take walks when I listen to music. That doesn't make it more "fun", but doing something mindless like walking a certain route and looking at scenery helps me put more focus on the music.
To be honest, I don't like to do much else while listening to music, unless I've put something on just to fill in the background.
Perhaps you could do something creative? Like drawing or painting or writing a story? Then again, music in that case would be in the background, and you might not pay much attention to it. I'm not sure.