EarMaster - Professional software for ear training and practical music theory on Windows and Mac.
Synthesia - A fun way to learn how to play the piano.
Meludia - Listening exercises and to sharpen your ear and music theory skills
Playground Sessions - Online piano learning game.
GNU Solfege - GNU Solfege is free music education software.
Piano From Above - Piano From Above is a program that turns learning the piano into a videogame.