You can create some form of Sudoku using Excel without having to use
macros. I'm not sure what type of game you're looking to create
though.
If you're using macros you can do all kinds of things. It just depends
on your imagination and skill with VBA in Excel. An easy suggestion for
a game using macros would be to create some type of "Choose your own
adventure" game where a message box appears with two or more choices
where if the first choice is selected a certain message box appears,
but if the second choice is picked a different message box appears.
Each having two more options... til they get to the end of the story.
Hope that gives you a good starting point.