I have this problem all the time, especially when I'm trying to catch them doing something. They look at me for a quick moment, but by the time my P&S takes the picture they've looked away. I've never used a DSLR so I can't say for sure, but I think this is one place where they have a definite advantage over point and shoots. From looking at reviews I know my P&S has decent speed, but it's still so slow!
For somewhat planned shots I do something silly. If I'm trying to shoot my kids in the leaves, I grab a handful of leaves to throw at them and count down to the throw to keep them looking at me and ready. Sometimes I shoot before I throw, other times after, and I just keep repeating it until it gets old or I get a couple of good shots. Inside I've thrown stuffed animals (dragging it out with "Who should I throw him at...hmmm...here he comes"), made silly faces and voices, and told them "Do NOT smile! No matter what I do, you must frown!" That last one usually works the best, but I only use it when the picture really matters to me so that I don't wear it out.