Emily Sticco and I just finished a four week course on Circuit Bending as part of her "Bits of Music" mini course at The School at Columbia University. Twelve students worked in small groups to hack a variety of children's instruments and to make them create strange, crazy sounds.
It turns out that most children's toys nowadays use Surface Mount Components, which are incredibly tiny and difficult to solder to. The students were not deterred, however, and spent much time probing the circuit boards looking for strange bends.
One of the easier hacks we accomplished was adding headphone jacks to the instruments. This also involved using a power drill to put a hole in the case for the jack to be mounted.
Many of the circuit bends the students found and used made use of skin contact pads they built using wire and sheet metal screws. The wires were soldered to the appropriate resistor or capacitor on the circuit board on one end and to the screws on the other end.
All in all, this project was pretty difficult because of the small size of the components. With a steady hand we were able to perform a few circuit bends, but not without destroying a few toys in the process.