Brain Teasers and challenges
http://brainbashers.com/opticalillusions.asp "BrainBashers™, an exciting collection of brain teasers, puzzles, riddles, games and optical illusions" They even have Sudoku!
http://www.braingle.com/brainteasers/index.php - Parents: Please be aware that this site has multiplayer games and community message boards and chat feature. Please coach your children on not sharing personal informaiton while online and the monitor their use of these resources.
Also, there are tools on the Mentalrobics™ pages to help improve memory, attention, creativity, vocabulary, etc. for all ages.