There are two ways of running a team building challenge; with a leader or without. It's quite common to run leaderless, and it's not as chaotic as it may sound. The group is shown the challenge and they decide how they will work. Sometimes a leader is chosen, sometimes one steps forward. Most often the team will collaborate and work together without needing a leader, sharing ideas and getting the work done between them.

This is fine for short, uncomplicated challenges. For anything more substantial the team effort may suffer if someone isn't leading.

The key in preparation is to find out what the objective of the event is and to plan accordingly.