While Sudoku has recently caught fire around the globe, the underlying mathematical structure have been studied for a long time.  Sudoku is a variant of a Latin square.  The name comes from Leonhard Euler, which gives an idea how long the concept has been around.

One open problem is the size of the "defining set of a latin square", i.e. the minimum number of symbols that are necessary to uniquely define a Latin square . It is conjectured to be lower bounded by  (n^2)/4, which is far from the best proven bound.