Great suggestions from Shaina... one of my pups' all-time favorites is the Hide-a-Squirrel. I can't believe how much they love that thing!! I hide other things like treats inside the tree trunk sometimes, not just the squirrels, and they always have a blast getting them out. There's a similar thing that is a fish that comes with three colorful squeaky "fish eggs"... they LOOOVE that one too (even just playing with the eggs!). They love tearing up empty Kleenex boxes, so when I use the last tissue of a box, I'll usually put the squeaky eggs and a treat or two into the box and let them get them out.
Some other favorites are the Tricky Treat ball (they have to roll it for treats/kibble to come out) and the Kong version (stuff-a-ball)... not that it's hard to figure out how to get the food out, but they always get excited when they see me filling it with stuff and love playing with it to get it all out.
I've also gotten some cheap agility equipment for the puppies to play with, and they love making up their own games with that (chasing each other while they jump over things, playing hide-and-seek in the tunnel, etc.).
I want to try some of the Nina Ottosson puzzle toys next... they're kind of pricey though. As for an intellectual challenge, those seem to me to be the equivalent of checkers... I'd love to find a dog game that's more the equivalent of chess... LOL... something that is ever-increasingly more challenging and becomes a project they can spend time figuring out every day, not solve the whole thing in 5 minutes.
eta: I forgot to add, I started a thread recently about ideas for a doggie playground and obstacle course for my back yard, and several people had some great ideas. One thing I definitely want to do is a sandbox, and hide "treasures" in the sand... I don't know about your dogs, but mine LOOOOVE to dig... it's just a blast for them. I know you're not necessarily talking about outdoor stuff but I've been wondering if there's an indoor equivalent to a sandbox... like you know those play areas for kids that are a bunch of balls that they can dive into? I don't know how it would be possible (short of buying a bunch of squeaky balls and filling my bathtub with them) but I know they would love something like that, especially if there were fun things hidden that they could find.