One of the fun ways to do math is by playing games.  Besides the obvious math-related games like Blackjack, there are a ton of fun logic and puzzle games out there, and many are available on the internet.  Here are just a few I enjoy--please feel free to leave links to other good mathy games in the comments section!
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Entanglement (click the images for links to these games) is a great knot theory game.  You rotate tiles to form the longest path possible without hitting the edges or returning to where you started.

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Red Remover is a fun spatial reasoning and physics game where the goal is to get all the red blocks off the screen without losing any of the green blocks.  It has many levels that test your ability to reason and to predict how the objects will move.  The blocks have great facial expressions too!

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Ragdoll Cannon is a bizarre little game that is animated as though it's been drawn on graph paper.  You shoot ragdolls out of a cannon and try to hit a target.  The idea behind it is quite simple, but the levels can get difficult--they test your spatial reasoning and your timing.

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Flea Circus is a great logic game with an old-school graphic style.  You need to set up the space so the fleas can all get through the door and none of them fall in the water or get stuck.  Then release the fleas and see if your setup worked!  Sometimes you need to tweak things a bit as you go along.  I like games like this where you set everything up and then just watch it go.

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B-Cubed is a logic and spatial reasoning puzzle where you need to move a block over all of the other blocks in the puzzle before you arrive at the red block.  Gray blocks fall away when you go over them once, so you need to make sure you leave yourself a path to get to the red block in the end.  Many of the puzzles have more than one solution, so you can redo levels and see how many ways you can solve them.

Have fun playing, and if you know any other fun math games, feel free to share!