My personal favorite is a game called Alchemy. It's one of the many puzzle games MSN offers, and it's a ton of fun. I love it because it can be very challenging, and it makes you think ahead.
TextTwist on MSN Gamezone is my favorite game because it's like timed Scrabble. You must arrange as many words from a given set of letters in a short time.
My favorite game on MSN Gamezone is the good old Chess. I am a veteran chess player and nowadays I enjoy playing it more on MSN Gamezone because of a greater challenge.