This is my favorite:
http://www.puzzle-loop.com/

Simple help to get you started:
http://www.puzzle-loop.com/faq.php

If you start at 5x5 and work your way up you'll slowly learn more tricks. It scales very very well.

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Underneath the puzzle there are links to other games, I like these but they're pretty easy:
http://www.puzzle-shikaku.com/
http://www.puzzle-bridges.com/

And sometimes:
http://www.puzzle-dominosa.com/
This gets annoying because of the huge search space

If you like sudoku I suggest here:
http://www.websudoku.com/