Battle for Wesnoth. It's a fantasy-themed turn-based strategy.
Though I haven't played it recently, I have some very good memories. It teaches you gambling and probability (especially on small multiplayer maps), and you develop feeling for the difference between 40% chance to hit and 30%.
The single-player campaigns are nice too. The one that I have in especially good memory is "Under The Burning Suns", which made a few creative and artistic changes to the game. It shouldn't be the first campaign you play, but it can be the second.