i second hotbox's magmic sudoku kudos.
it isn't free, but the price is very reasonable and their support is top notch. the interface is attractive, and there are different game board styles in addition to the standard black and white grid. the difficulty settings not only allow for "more" puzzles, but also makes it so you can have a "quick" game or solve one of the harder puzzles that you can revisit at leisure.
there's talk about it and other sudoku choices here