I have very fond memories of my initation sleepover. We "watched" (aka they were on, we weren't really paying attention) a couple movies while sewing our own very first set of letters (a Zeta Omega tradition). We stayed up far too late and had our NM chair telling us to go to sleep so we'd actually be half awake during initiation!.
Of course, I agree... initiation is my very favourite part though. I loved it the first time... and while i love taking part in it since (because to be honest, we do miss a lot the first time) nothing has been the wonder and happiness I experienced during my own initiation. Initiating my key sis came close though!