Sudoku puzzle is most frequently a 9×9 grid, made up of 3×3 subgrids. The goal is to fill in the empty cells, one numeral in each, so that each column, row, and region contains the numerals 1-9 exactly once.Sudoku was originally very popular in Japan and later spread to other countries. Now most national newspapers publish atleast one Sudoku puzzle each day. Sky One even hosted a live TV Sudoku show on TV.
While the rules of Sudoku are pretty simple, it may need a lot of patience and logical thinking to solve a Sudoku puzzle.
The two main approaches to solving Sudoku problems are "candidate elimination" and "what-if". Wikipedia article on Sudoku is probably a good starting point to learn more about Sudoku.
Wendy Boswell found an interactive guide where you can learn techniques for solving Sudoku using interactive graphics. Good for beginners and advanced users alike.
I think Sudoku is a good way to simulate your brain muscles but it can also be addictive.