When I saw the first Sudoku puzzles, I immediately saw the nice challenge of building a solver for them. I used C# and made a WinForms application. If you're interested, look at:
http://workspaces.gotdotnet.com/SudokuSolver. You can download a release build which installs the solver program on your computer, but you must have the Microsoft .NET framework 1.1 installed. You can also download the source code or even contribute to it.
Have fun!
Wiebe