It seems like the terms "fun" and "games" tend to accompany each other frequently. However, it has been my experience that many games are not fun (at least part of the time) and that many fun things aren't games.
Here are some interesting games that are fun (at least some of the time):
UNO is a popular and timeless card game that can be played almost anywhere, provided that the deck (twice the size of a normal deck of cards) is monitored so that it doesn't become a big mess ... after all no one wants to play 108-card pick-up, especially more than once.
Jeopardy, the only game show that I openly admit to watching, isn't as fun when you try to actually play it (even if you are only playing a simplified version on Sony's Website). I think that, like normal viewers, most of the real players are probably much better when playing along with the show at home than in the studio.
Chess -- Deep Blue v. Kasparov -- Well, I knew that my computer could always beat me, but I wasn't expecting this game this soon. I always thought chess was interesting, but my opponents always took too long. Not a problem with a computer opponent. (Then again, the computer plays too well!)