My kids love these:
Math Blaster.. we have Jr. and regular... the Jr. is great for the smaller ones, and the regular goes into some great concepts.
We LOVE LOVE LOVE the Jumpstart series. We had (sold some on Ebay) all of them from Toddler to First Grade. Both of my kids loved it, and it actually had a progress report for the parents as well.
We also had Dr. Suess ABC's thats nice as well.
My kids just got a Pajama Sam problem solving game from my parents. They loved it! (they actually solved it quickly, but thats more my daughters (1st grade level) than my sons (3rd grade level)
My son 3rd grade loves
Roller Coaster Tycoon (we have one and two, note only physics, but money, budgeting, and mangement skills taught)
Spiderman (have to say that one is just fun!)
Sim City (he likes that as well)