I think I've written about this here before, but it's so important that I'm responding to Leigh's question on this.
I haven't free jumped in a round pen. We use the indoor where they can go straight through a chute. Either way you make a chute along the wall using rails held up by barrels, standards, or whatever. I always do a cross rail with an ascending oxer or triple bar 18 - 22 feet after it, depending on the horse and his confidence. Start out getting them used to going through the chute with no jumps. Then set the first cross rail, then set a second one, then build it up after each confident trip through. Don't let them stop, but don't chase them through any faster than is necessary. If they are focussing on the jumps and clearly are going, chill out and let them think their way through. I'm constantly telling helpers to quit whooping it up. If anyone is encouraging the horse, make sure it's the person slightly behind them, and not someone standing next to the second jump!
It may sound like I'm rushing things, but I have almost every athletic horse jumping 4' by their third lesson. The really good ones get to go 4'6". Once they've done it 3 or 4 times, I do it only very rarely. They've learned to jump, I've evaluated their talent and style, and the time is now better spent under saddle.
I just started free-jumping our new 4 year old stallion, whose new name is Salute the Truth. The first few times through he didn't know what to do. He'd stop and pop over, or step all over the cross rail because he was looking at the second jump. By the end of the session (maybe 12 times through) he was eagerly jumping 3 feet. Three days later he did 3'9". Today he did 4'6" and he still didn't look like it was an effort. The cool thing, though, was that he thought of it as a game. He'd come around the corner, focus on the jumps, and figure it out all by himself. Afterward he'd trot around with his tail up like he just proved how great he was.
I've had some who you have to be very careful not to overface. It's usually when they are going through out of fear of the person with the whip that things fall apart. Keep the jumps at a height where the horse is enjoying himself. Make sure you end with a sucess, and then come back to it later. I would never recommend jumping more than about 15 times through in one session, and let them stop and relax at least every three times through. A pat on the neck while you're raising the fence keeps them relaxed and positive.
The last horse I bought sold me on his ability and desire to get out of a tight spot in a free jump. Looked to me like all the elements of a good cross-country horse. I read somewhere that Bruce Davidson decided to buy Eagle Lion as a youngster when he saw him free-jump. I think all eventers should see their horses free jump. It tells you a lot about how you should ride them.