Sheppard Software has been one of my favorites since the start. There are countless games and activities on a variety of subjects, but it is the Geography section (and their eight levels of difficulties) of this site that keeps us addicted. We play games to learn the states and their capitals, countries and their capitals, as well as bodies of water and other landmarks. This site is part of our weekly learning.
If you play around on it for awhile, I think you'll find it fun, too. Adults are never too old to learn!