Carnegie Mellon has created an educational game called Anti-Phishing Phil. From their website:
Our user studies have found that user education can help prevent people from falling for phishing attacks. However, it is hard to get users to read security tutorials, and many of the available online training materials make users aware of the phishing threat but do not provide them with enough information to protect themselves. Our studies demonstrate that Anti-Phishing Phil is an effective approach to user education.