Emile comments on Stupid Questions Open Thread Round 4 - Less Wrong Discussion
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Zendo, Nomic, Eleusis, Master Mind ... and yeah, probably Poker for probability.
Petals around the rose: http://www.borrett.id.au/computing/petals-j.htm
I asked a similarish question here: http://stats.stackexchange.com/questions/28925/good-games-for-learning-statistical-thinking - for example, these games for simple stats.