Practicing with drones offers a nice way to work on a number of different things at once. Valdez lists three different exercises that you can do: practicing long tones, pitch bending, and improvising. While his pitch bending exercises are more specific for saxophonists or other woodwinds, the long tone exercises will be good for any brass or woodwind instrument and improvisation good for any musician.
I also like to practice scales, chord arpeggios, and other patterns with drones. They really force you to lock into the pitch on each tone and help develop your ear for the color of each different scale/chord tone has.
Be sure to go to Casa Valdez Studio and get the downloadable drone files that he has made available. I usually use a simple tone generator that produces a sine wave (very hard to tune against), but Valdez’s drones are a little more organic (they sound like they come from an electronic surpeti). You can put these files into iTunes, or whatever MP3 playback software/device you like to use, and shuffle them to force yourself to practice in different keys.