I think that IKnowThat has the best learning games on the Internet.  However, unless you purchase a subscription (which, admittedly, is pretty inexpensive) you have to put up with some annoying ads and an annoying process to get to some of the games. 

Happily, Learning Games at AOL Study Buddy has many of IKnowThat’s games easily available to play, including some great map activities.  I’ve placed links to these geography exercises on my Geography page at the bottom of the category “Sites That Cover Many Areas.