I've found good learning games hard to find. Many are boring, most teach only a bit of knowledge (facts) but not skills or deeper understanding. But two gems are "The Incredible Machine" and "Fantastic Contraption" In both these games you have to build a contraption using wheels, levers, motors, etc. Building these contraptions you learn how gravity, leverage, balance, and other physics concepts work. And by "learn how they work", I mean you learn to actually use it to do something, not just read about what it is.
Along the same vein, Electro•pocalypse is a game about electricity where you build and fix circuits. Each puzzle needs some change and you need to learn about loops, voltage, current, ohms law, resistance, etc. to solve the puzzles. I know people find it fun because I've watched them gather together and try to solve the puzzles for hours--they don't give up. And of course they are in fact solving problems in electronics so presumably they are learning there, although no studies have been done to confirm this.
The incredible machine -- http://en.wikipedia.org/wiki/The_Incredible_Machine_(series)
Fantastic Contraption -- http://fantasticcontraption.com
Electro•pocalypse -- http://stratolab.com/electropocalypse/