That said, I was reading up on what researchers have to say about the value of learning with games. These researchers point out that embedding education into a game is a tricky task, and that oftentimes, game makers do not do a good job:
Although there are many excellent educational games on the market, some 'purchase children's motivation at the expense of learning,' says Lepper. For example, he has seen some games that provide the most gripping graphics when children lose, thus motivating them to intentionally forfeit the game as well as learning that might occur. (source)
I must admit that I've seen this problem in some games, but more often I have seen the opposite: dull games with poor graphics that just aren't all that fun! Now, I'm referring specifically to math games online, something that I've explored quite thoroughly as math teacher. The best site that I have found so far is themathgames.com; their games do a good job of making learning the objective of the game.

Another good fun game is Math Blaster. Although not an online game, Math Blaster requires you to use your skills and your knowledge simultanesouly. You can buy math games like math blaster at www.mathstore.net.
In the end, a good math game requires the player to 'play' the game while at the same time employ his or her knowledge. If the fun of the game is divorced from the learning, the game will probably flop. For instance, consider a game that has you shoot ten bad guys then in between levels asks you math questions on addition. Such a math game has thoroughly divorced the learning from the fun game play. A child is likely to find the math part annoying. An ideal game combines game play action and content knowledge at the same time!
A good resource about online math games : http://www.squidoo.com/math-games-online