After trying several Sudoku games, I happily purchased UniSudoku. Why?
1) The auto-generated puzzles are true Sudoku puzzles. I tried others that were too easy & could be solved by chance rather than logic.
2) The user interface makes it easy to enter numbers and pencil marks - just click in the box. Its the most playable Sudoku I tried by far. It's a bit plain but I prefer that to the garish style of some others. It's the closest I've found to pencil & paper with the advantages of the computer.
3) The highlight numbers feature helps solve hard puzzles. There are some programs with more "solver" capabilities, but this is the one I enjoy playing. I'd suggest reading the user manuel for "Sudoku Susser" to learn advanced Sudoku strategies, but for playing Sudoku - I use UniSudoku.