I also studied maths as my major (Algebra, to be more precise). Math is infinitely playful. Trying to weasel your way into a hard problem using various results is fun. (Especially if you don't have a fixed deadline that would turn the play into stress.) It is like sitting in an alien workshop and trying very exotic tools that fit other hands.
If you are more of a visual guy, play around with stuff such as fractals. There, you can visualize the intricate structure on your screen. I will never forget the moment when I saw the Mandelbrot set for the first time. Neither probably did Mandelbrot himself; according to the lore, he expected nothing like that and thought that the computer had an error.