Chessmaster is our family favorite and is the program I strongly recommend to everyone, primarily for the interactive tutorials which cover from never having played before, to much more advanced.  These are only available on the 10th and 11th editions.  Kids particularly enjoy the different chess sets you can use for playing against the computer, including a couple fun animated ones.  The computer opponents have a full range of abilities and personalities, so you have appropriate opponents to play.  My daughters also enjoyed the chess-based mini-games that help develop chess thinking without actually playing chess itself.  You can even play against your far away friends and relatives over the internet.  This software has been around for years, so they really have a ton of features. The software maker Ubisoft has discontinued this product and it was hard to find even a used copy on ebay for a reasonable price.  However, the 10th edition now seems to be available for free from Softonic here: http://en.softonic.com/s/chessmaster-grandmaster-edition-free-download-full-version.

If you prefer to buy it on ebay, be careful to choose the right version and the appropriate platform since there are PC, Playstation, and Nintendo versions.  The newest version of Chessmaster is version 11, also called "Art of Learning" or "Grandmaster Edition".  Both version 10 and 11 give you the great tutorials.  There are only a few minor differences -- a few less chess sets to choose from, no Raving Rabbids animated set, fewer mini-game variants, no famous games, one less tutorial (there are so many others that you won't notice it missing).

Learn to Play Chess with Fritz & Chesster, parts 1, 2 & 3. This series is also excellent.  Kids may enjoy learning from these even more than Chessmaster since chess is taught within an interactive animated story.  You play lots of different chess-related games and challenges that directly or indirectly improve chess skills while you're busy just having fun. The discs used to be more expensive, but now they are much cheaper, available thru Amazon.com.  [You can find the whole 3-disc set for Mac for about $15 or individual discs for close to $5.]  Disc 1 covers the thinking process before introducing the game itself.  Disc 2 gets into the actual game and is the most useful (buy this if you only want to get one).  Disc 3 is for more advanced players.