Have you discussed this with them? I recently had a talk with my 4.5 year old about having to repeat myself. I then showed her how it felt to be ignored one morning, and we then had the discussion again.
I have some rules in our house: no books or stories until (1) in PJs', (2) teeth and hair brushed, and (3) floor cleaned. It's become mostly habitual with my kids at this point. We still have our nights when they are running around playing and I can't get them to focus, but usually a gentle reminder that there will be no books or stories gets them moving.
I am with you here, though. I don't think consequences (taking things away) works. I've been trying to move away from that and to just ask them for help. "I need you to pick up so I don't trip when I come into your room," etc. This doesn't always work, but I find consequences to be mostly irrelevant to the younger set. They actually feed off the excitement of pushing boundaries, so it's like they get in these moods where they just keep on going, and you keep on going, and next thing you know have their prize (stuffed) friend, they get no TV or treats, etc. and they still aren't listening.
My plan as of late really is just be better at listening to them, and using lots of I statements. I will admit that when they are really bad, I will tell them "fine, you can just put yourselves to bed." I then walk away. They usually jump right into their routine.
Wish I had more suggestions but I do think young ones need less commands and more assistance and play. I know I would stop listening if all day long I got a long list of things I had to do......And I really think this is part of the reason they stop, we ask so much of them, and they just want to go play.