If you want to entertain, you've got to hold people's attention, usually with something amusing. Clowns, music, silly jokes, and a good game of charades can all be used to entertain.
Did you know you can actually entertain ideas? It's not quite the same as entertaining friends with a good home cooked meal or tickets to the ball game, but still an appropriate way to use the word. To entertain an idea means to have it in mind or under consideration. For example, you never thought of studying abroad, but after a professor said it was one of the most meaningful experiences of his life, you started to entertain the idea of living in a foreign country.