Doing Sudoku puzzles is a wonderful way to exercise the brain. I do them online at http://www.dkmsoftware.com/sudoku/ or I print them and work on them at lunchtime, while waiting in a doctor's office, etc. You can start with the easy puzzles and work up to the advanced ones. Try it!
Luckily, my work keeps my brain going as if on a high-wire; constantly learning new skills on the computer.
But, when I want to challenge my brain to "create new pathways", something which conventional wisdom once said couldn't be done, I try brushing my teeth with my left hand. It's not pretty, but the belief is that it takes approxmately 21 daily repetitions for the brain to think it's learning something new and that it's time to create a new pathway. Things like that (feeding yourself lefty-working out with weights while standing on one foot)are all considered brain excercise. There is a lot of research to back this up, so those of you who can't handle the Sunday crossword puzzle might want to try this method.
Reading book reviews on "Good Reads", B&N, Harriet Klausner. Gives me great ideas/reviews on what to read, and generally leads me to having 10 books lined up on my nightstand. Only trouble is I fall asleep after 15 minutes of reading at bedtime!
I do crossword puzzles but really enjoy Scrabble. I bought the CD which allows you to play with a person or against the "Maven", and she is tough! You can play on different levels. Its a good way to increase your vocabulary.
As the Director for <a href="www.StairLiftProfessionals.com">StairLiftProfessionals.com</a> my territory is Scranton which provides plenty of challenging places to find <a href="http://www.geocaching.com">Geocaches</a>. Geocaching is a huge global treasure hunt that you can easily do as a family. Or, there are more challenging geocaches hidden for the the puzzle oriented folks or daredevil types. Geocaching is a way for me to get my needed exercise and challenge my brain. Beware though this sport is VERY FUN & ADDICTING!
Something for brain fitness (you need to use your brain like a muscle, exercise it!).... try out http://60secondbraingame.com/ for free! Especially if you know what the Stroop effect is (http://en.wikipedia.org/wiki/Stroop_effect), you've gotta do this!
Their paid products of course are amazing - and backed up by science (really, legitimate, not just based on design cases or a one-off study)
(I'll be honest, I'm biased because I'm working at Posit right now, but it's fun)
Any exercise for the brain must provide: 1) novelty, 2) challenge and 3) variety, in order for it to be effective in creating new brain connections (brain plasticity). New neurons (brain cells) can be generated by physical exercise, according to several studies.