Physics Games - Three of my favorites are below.
Games for the Brain - over 30 games to stimulate your brain
Play with Your Mind - even more on-line brain games
BrainBashers - games, puzzles, and more
Logic Games and Puzzles - fun logic games and puzzles that give your brain a workout
Chess - learn how to play one of the oldest strategic thinking games, play with friends, or play the computer
Sudoko - play one of the most challenging logic puzzles in a user friendly jigsaw puzzle format