The Brain Age game I have for the Nintendo DS includes a great implementation of Sudoku. It's so good that people are calling for it to be on its own. The only nit I have about the game is that I am only allowed 5 mistakes before the game calls me a loser boy. Nonetheless, I'm starting to really get used to Sudoku and finding it a nice waste of time.
Here's a great guide on how to solve Sudoku puzzles:
http://www.wikihow.com/Solve-a-Sudoku
WikiHow.com has other great how-to articles so rummage around.
