http://brain.oxfordjournals.org/content/123/11/2240.short
FPS games and RTS games can focus on ratios, value representation, decision making speeds, and spatial processing.
Nethack and Dwarf Fortress will rape your symbolic recognition and long-term memory and motor/analytical response
Memorizing 20x20 multiplication table instead of 12x12 can hasten multiplication, division, and can improve the brain enough to make it easier to memorize rote shit later.
Brain Workshop is a go-to for verbal short-term memory and attention control enhancement, though it's unlikely to really help with much other stricter processing (though we do use verbal for a lot of general tasks)
Stuff like Braid, Portal 1 (a little of 2), Tremulous, some RTS, and Unreal engine games like Deus Ex (The Nameless Mod with it) and Postal 2 can improve problem solving and "creativity" skills. Tremulous, Portal 1 (and 2), and Postal 2 can really give an appreciation of space not found in many games these days (way too small). Note, Unreal engine games have forced mouse accel which you'd need to find a fix for if you're running Win7/Vista. MarkC's mouse accel fix is one, though it's not as rigorous as dll hacks since it's only a registry edit.