When I was a kid, I used to play a lot of educational games. I had the various JumpStarts and was a big fan of Zoombinis. I learned a lot about ancient Rome from the Caesar series too.

As an adult, the Paradox 4X games (Crusader Kings, Victoria, Europa Universalis) can actually teach you a lot about history and geography. I mostly play the older ones because the newer ones have atrocious development cycles and DLC policies. Victoria 2 is my favorite!