- problem solving
- working memory
- pattern recognition
- dealing with frustration
Of course it's important to start children out with easy puzzles so they don't get too frustrated right away and give up. You can model solving a puzzle and talk your way through it, but once your child has the basic concept, don't help too much. A big part of what makes sudoku fun is the satisfaction of completing a puzzle "all by myself!"
You can find easy printable sudoku puzzles beginning with 4x4 grids.
Here is a link to the more typical 9x9 sudoku grids with various levels of difficulty.
If you'd rather work with words than numbers, there are lots of logic puzzles that are more like story problems. Here is a collection of 12 printable logic puzzles with grids.