Sweetheart and Raven both tend to be laid back. They are accustomed to being pasture pets, not being put to work. After a couple days of training, they chose to head for the other direction when I entered the pen. This told me that I need to work harder on building their confidence in me as their leader, but in the meantime, I still had two horses that did not wish to be caught.
What did I do? I immediately scrapped my original training plans for the day. I just found a dry spot of ground by the feeder, sat down and waited. It took Raven about 30 minutes to decide to come check me out. I gave her a treat and immediately left the pen. I repeated this about 4-5 times throughout the afternoon.
By the last time, they both walked right up to me as I entered the pen. I gave them their treat and spent a long time rubbing and scratching them--both are shedding heavily now, so they seemed really appreciative of the back scratch.
I had to repeat the process the next day, but it went much faster, and I was able to do some of the training I had wanted to do the day before.
Today Sweetheart walked right up to me and followed me as I moved around the pen. Raven took a little longer to warm up, but eventually she, too, came up to me.
Another tip...when the horse finally comes to you, don't try to halter him immediately--even if it means he leaves you and you have to start over. Just rub him all over, initially with just your hand, and then with both your hands and the bunched up halter and lead rope. Your horse will be more confident in your approach if he knows you are not going to snatch at him the second you get close.
Another option I use occasionally with my trained horses when they decide they don't want to come and be caught is to "round pen" them in the pen or the field. It's a case of making the right thing easy and the wrong thing difficult. If they don't want to be caught, that's not a problem. They can just run laps until they are ready to be caught. It usually doesn't take them long before they are asking if they can come to me. I invite them in and proceed as if the whole thing never happened.
With Raven and Sweetheart, however, I am working hard to build their trust and confidence, so I chose to sit and wait. It takes a little more time up front to do it this way, but I know from experience that it will pay off big later on.