Resco Sudoku works very well. For freeware, the one listed above, Pocket Sudoku, requires Net 2.0 to be installed.
Try this other freeware (also requires Net 2.0) - it looks extremely polished for a freeware and has tons of features, including a pencil/crayon feature:
http://www.freewareppc.com/games/superdoku.shtml