A lot depends on how much support you get for these things from the parents.
Our pre-school is desperate for funds too and we've made various amounts of money from Christmas fairs, market stalls, cake stalls, nearly new sale, raffles and so on. We've also raised cash (although not much) from sales from catalogues which give commission to organisations such as pre-schools (eg Yellow Moon, Chocoholics, Webb Ivory).
We tried to run a race night but didn't sell a single ticket.
As far as writing to local businesses goes, we've recently done a biggish mailout and although we didn't get much cash, we did get some toys and raffle prizes, so it was worth doing. When you write to a business, it's a good idea to mention a specific project or item you want the money for, and to tell them about some of the other fundraising things you do (eg cake stalls) so they know you're working hard at it and not just writing letters asking for handouts.
We're currently writing to our local and county councils to apply for grants. It's become horribly clear to us that no-one tells you about money that's available - you find out about it by accident!
Whatever you run, it's always worth selling teas/coffees/soft drinks/cakes etc alongside, as people are always happy to buy a cuppa.
Sorry, this was longer than I planned!