Most board games can be great educational tools. Eg Guess Who teaches logical thinking skills since kids have to think of a strategy to use and a question that will support that strategy. Clue is similar but possibly a higher age range.

Same goes for puzzle games - Sudoku, or even those little golf tee + peg board games you see at like cracker barrel. Simple but educational and they exercise the brain.

As others have said, Legos and similar toys teach spatial reasoning and similar skills as well.

If you are looking for toys that teach a specific skill (eg algebra) that is likely trickier to find.