UPDATE: As of July 11th, Lumosity is no longer in Beta testing and they now want to charge exorbitant rates for their services. As a Beta user they offered me the super low special price of 2 years for $49.95, which apparently is a huge savings over the annual price and the non-Beta user price. At that kind of price I'm sure I can find better options for mental exercise.
Lately I've been enjoying a mental exercise site/game called Lumosity, where each time you come to visit it gives you a new set of exercises to do (assuming you've taken a minute to set up your login), and keeps track of your scores and overall progress on exercises from a few different categories (attention, processing speed, memory, etc.). There are 30 sessions to work through. I do one every day or so, and its fun to see how I'm doing. I've done about 20 of the sessions so far. Its kind of along the lines of things like Brain Age, but free, so if you are interested, you should check it out.