A couple of weeks back, I went to a meeting of the Association of Teachers of Mathematics in Massachusetts. The keynote speech was by Scot Osterweil of MIT's Educational Arcade. The goal is to produce games that teach mathematics in a way that is engaging to students and has true educational value. He showed us a game, Lure of the Labyrinth, that embodies these principles. It teaches mathematical topics, such as proportions, at the middle school level, and is quite engaging, even to adults. It reminded me a bit of Myst, although there is definitely a more kid-friendly feel.
Try it yourself by going to http://labyrinth.thinkport.org. You must register, but I don't think that there is any downside to that. You can choose either Game or Puzzles. I'd suggest trying Puzzles first, and selecting the first puzzle.
I really liked this and I agree with Scot that properly designed puzzles and games are one of the best ways to teach mathematics.