For my daughter quite often the highlight of our walk to the shops is that she gets to push the button at the traffic lights. Whether they do anything or not, she just loves pushing buttons.
My 3 little ones have to take turns pressing the button, otherwise it gets messy... by the time they have all pressed the button it's time to cross
In the UK, we have these little conical spinners on the bottom of the signal that start to turn when the light turns green. My son and I often make games out of them while we're walking around.