The concept of transference is a major concern in cognitive training: There is no doubt that Brain Age's exercises can make your basic math skills improve, but do they really make you smarter?
From my experience, Brain Age doesn't make you smarter... but it does seem to make you a little more alert (something I wasn't expecting). A while ago, I was getting consumed with my responsibilities. From 6:30am to 9:00pm, it was all about my son, work, my wife, and the house. I ended up selling my Xbox and GameCube, as I had no energy to do anything... not even play games. This went on for several months. My work was being affected by my unhealthy routine. Then I bought a DS Lite (as soon as the Onyx became available) and Brain Age. Each night I'd play it for about 20 minutes (man, that word memorization sure hurt my noggin'). What I noticed is that (after a month or so) I became more focused at work and then as I became more satisfied with my efforts at work... I had more mental energy for my responsibilities at home. Now I "train my brain" with Clubhouse Games.
Nothing makes you more mentally "awake" than a good physical workout though. Before I got married, bought a home, had a kid... I got into a really good workout routine that lasted over a year and THAT was the most mentally healthy I've ever been (very alert, attentive, focused). I don't have time to hit the gym anymore, but the brain training has helped in the absence of a physical exercise routine.
Physical exercise won't make you technically better at any given sport, but it definitely gives you a stronger foundation to become better at sports. Brain training won't make you smarter, but it will give your brain a better foundation to absorb, organize, and interpret information... in my opinion. ;-)