Hands down my favorite and (very) security oriented game is https://overthewire.org/wargames/bandit/ --- It's actually a series of games but this is the first one. I learned so much playing these.

I like this one, made by Google - it teaches XSS vulnerabilities: https://xss-game.appspot.com/

It's been discussed on HN twice:

https://news.ycombinator.com/item?id=13021869

https://news.ycombinator.com/item?id=7815237

I very highly recommend https://microcorruption.com/, which is a small-scope exploit development CTF.