I use 5ud0ku, from 5ud0ku Midlet - A mobile Sudoku J2ME Game - User Manual
It's the only one that's worked sensibly for me, the others I've tried have been too simplistic or buggy. But be warned, some of the hard ones in this game are near impossible.
When I changed from OS4.6 to OS6, I noticed that the cursor in the game locks up if I use the red phone button to swap to another program for a while. The workaround is to go into the Preferences menu in the game, and back out again.