Although conversation classes are generally very popular with students, especially as they feel they can put into practice what they know and have learnt, teachers must avoid falling into the trap of relaxing and just letting students get on with it and speak to their hearts' content. That is, students should be aware that, as with classroom use of audiovisuals, etc., there must be a purpose to the activity.
Likewise, teachers must ensure that all students are given an opportunity to participate and that not just the most outspoken students get to pontificate. With students who, for whatever reasons, are reticent about expressing opinions, it might sometimes be convenient to remind the class that they don't actually have to give their real opinions, and that the aim of the exercise is to practise English, not to tell the truth or to say anything that may be used against them. In fact, conversation classes may actually require more effort on the part of teachers than regular classes which have typically been well-prepared beforehand.
As in the case of role plays and other controlled classroom activities, it is a good idea to provide a background text or listening activity containing keywords, and give feedback in the form of correcting mistakes. Follow-up and/or homework activities might include summary writing, etc.
At the risk of being accused of blowing one's own trumpet, don't forget that there's some great stuff over at TeflPedia's very own list of conversation questions, with almost 150 topics to choose from, compete with loads of those hard-to-think-up-on-the-spur-of-the-moment questions which come in handy.