The Duelist used to publish MTG puzzles by Mark Rosewater in which you were placed in the last turn of a game and had to figure out the correct play to win. I remember these puzzles being extremely fun and a great way to improve skills. I know that these puzzle were collected in Magic: the Puzzling, but with the M10 rules changes, these might be outdated/broken. Is there any other place I could find something similar?
Duels of the Planeswalkers 2012 includes several puzzle games.
Gatheringmagic.com has a pretty nice archive of puzzles.