I think an "Improv to Rationality" class would be very fun and interesting. I don't know how WELL the games would work to teach the desired skills, but I definitely think it would make the lessons more memorable, AND you'd be able to add the phrase "Team-Building" to your class description. You can sell anything if you promote it as "Team-Building." :P

A game that would teach how to look for alternative options (see parent) could be "New Choice". In this game, a scene is played out, with the moderator occasionally demanding a new choice(s) from the players. (Video Example (includes 15 sec commercial)).

Not only would it teach about not becoming too set on a current course of action, but could have the lesson of: "When thinking up alternative actions, don't just stop at one or two. Instead imagine a moderator yelling "New Choice!" at you. Keep thinking up new alternatives until you get to crazy-land (i.e. "Here's a cat from my pants")

Another sub-skill mentioned, was the ability to recognize bad rationalizations (i.e. "I will feel bad if I quit something I put so much effort into."). Perhaps one way to learn to recognize these, is to do bad rationalization ON PURPOSE, to see what it feels like. A good game for that is "Challenge in a Minute".

In this game, a two-sided silly debate is chosen, such as pirates v. ninjas, or Coke v. Pepsi. All the players line up and challenge each other's arguments. Arguments are supposed to start somewhat seriously ("Ninjas are sneakier") and devolve over the course of the game ("I don't like his pants"). (It's easier to just watch a video, than explain the rules.)

Participants could then brainstorm what it felt like to come up with the bad rationalizations. I would expect answers like: Grasping at straws, Searching your brain for things to support your position, Being proud of clever retorts, etc. Participants could then ACTUALLY try to answer the debate question (ninja v. pirates, or whatever) in teams, and then discuss what it felt like to actually try to find the answer. I would expect answers like: Defining the problem, Not knowing the answer, Looking for sources, Being willing to change my mind (debate question must be sufficiently silly that most people would be willing to change their mind.)

Note: I'll admit that I worked backwards for this. Instead of thinking "What's the best way to teach consequentialism?", I thought "It would be awesome to do an Improv Rationality class. How can I relate some improv games to the lessons we're trying to teach?" So this solution probably isn't optimal.,..But it IS fun!