You might enjoy Sudoku more than straight-up math problems.
If you have a google homepage, or are willing to get one, there are several RSS feeds or gadgets to provide brainteasers. On mine I have Wei-Hwa's puzzles (different type of game each week), series of tubes (visual logic), and Nick's Mathematical Puzzles (exactly what it sounds like). Or you could just do a Google search, and bookmark things you like.
There are also TONS of strategy games out there other than chess. Mancala is easier because there are a limited number of moves to search (technically chess is also, but the number is so huge...) I also like go (othello is similar), and blockus is popular this year.
If you do a search for games stores in your area, you should be able to find one that sells strategy board games and card games. This opens up a broad range of options to fit your needs: Settlers of Catan (and expansions), Risk (or Axis and Allies), Stratego, Carcassone (and expansions), Killer Bunnies and the Quest for the Magic Carrot (and expansions), Munchin (and expansions), Empire Builder (and variations), Ticket to Ride (and variations).
If tree-based oppositional search games aren't your cup of tea, how about card games? Poker as recreation is fun, but go pick up a book of poker strategy -- it can be a lot of mental work to figure out your best option. Learn to count cards in blackjack. Cribbage, hearts, or bridge are all good options. The advantage of these game is that you can't just memorize strategies -- you have to respond to a random element.
In that same store, they may have a book on "Lateral Thinking Puzzles". Or just a book on general brainteasers. Google search may be helpful here as well.
Or if you're more into video games, go into a video game store and ask for a strategy game. You can get real-time (emphasizes quick thinking and decisiveness) or turn-based (emphaises thinking through your strategy), and the person at the store is much more qualified to help you than I.
As long as you're there, look into games specifically designed to enhance brain performance -- Nintendo has had a brain-building video game out in Japan for a couple years now, but I don't know if it's migrated to the US. (Maybe you're in Japan.)
If you don't like games, or think it would be fun to develop a practical skill as well, pick a new career. You don't have to actually switch careers, but do the work it would take to do so. That'll cause plenty of problems. Or start your own business -- that'll cause plenty of problems as well. Or learn a new job skill -- if you're a marketing major, learn to program a database; if you're a CS major, learn brochure design. If you're in college, take a class in a field you've never taken before. A dartboard might be useful in selection. If you're not in college, take a class. (Ditto the dartboard.) For added challenge, don't take the intro-level class.
Learn how to pick stocks.
Write a book.
Join an improv comedy troupe.
Join toastmasters.
Learn a sport or a new type of dancing.
I'll keep you posted as I come up with other ideas.
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