Some are more fun than others. Deep down, it's the rules that make a game what it is. Our efforts to meet the game's challenges are what make games fun. Whenever you think about the effects that the rules have on a game, you're thinking about game theory.
Mazes offer a choice of paths, some with many entrances and exits.
Mazes challenge the choice-making part of ourselves. Maze designers exercise thinking and fine-motor skills used in math and reading as well as in drawing. The lesson could be taught to students of nearly any age. Make it challenging . Don't be afraid of making it too difficult unless you're making it for really little kids.