LoveToKnow.com has a nice list of mathematical concepts parents can work on with their preschool age kids. This site also includes a list of board games, online games and worksheets.

MightyMind Regular Edition is a tangram game which guides your child through an increasingly challenging series of puzzles. Kids work though sequentially numbered pattern cards which challenge them to create increasingly complex shapes. Recommended for kids age 3-8,  this game helps develop of visual and spacial perception, and problem solving skills.