Pentago comes in a square red box and cost me £20 from WHSmith. You can get free apps and play it on your smartphone.
Its a 2x2 grid of 4 rotating squares, and each square has 3x3 holes for black and white marbles. One person has white marbles, and his/ her opponent has black marbles. On each turn you place a marble in one o the holes and rotate one of the squares. The aim of the game is to get 5 of your marbles in a line on your go, then you win. It is possible to have a draw if all marbles have been placed and no line is formed.
Give it a try, it really improves your lateral thinking and is quite challenging.