The prevailing psychological theory appears to be that learning is fun. Well, try convincing children of that. I'm not sure that fun has anything to do with learning and practice; if it did, learning and practice should be fun in of themselves but that isn't always the case.
This brought me to the question, what does throwing a ball and playing Sudoku have in common? It's not the adrenal or physical experience since Sudoku is neither of those things. It's not the fancy visual experience. We might be led to say that it's learning and practice that you aren't forced to do and the key element here appears to be forced. If you were being forced to play your favorite computer game when you didn't want to, it wouldn't be fun anymore.
One derivative explanation to the materialistic theory of "fun as learning" is that fun is combat practice. Throwing a ball is sometimes analogized to hunting or combat, if not always very well. And there are people who view things like math (and therefore Sudoku) as an act of power. This kind of person might find Sudoku fun, whereas other kinds of people would not find Sudoku to be fun at all. Girls compete with each other in terms of their looks and can find makeup fun, whereas most men would not find makeup entertaining at all. Yet the "greatest anime battles of all time" are fun and no one believes that they are remotely realistic fighting. This weaponized theory of fun seems to run into an obstacle; if fun is combat practice, shouldn't one expect it to be real or plausible before it could be fun? On the contrary, it seems to be the case that the more ridiculous and blatantly unreal something is (e.g., Dragon Ball Z, "rock the dragon") the more fun it becomes. So although I find this idea of fun as combat practice to be a more compelling argument than "learning is fun snurf snurf", a conception of fun as combat practice doesn't seem to fully or adequately explain the need to have fun either. Even if some of us find fighting (in various ways) to be fun, the blatantly fake, deliberately ridiculous fighting that we don't even take part in is even more fun than the real fighting, so fun can't merely be combat practice.
Inevitably I move towards metaphysical explanations for why we need to have fun. It appears to be the case that fun is to engage in a structured activity (or perhaps even just a statement, or even more vaguely, an experience) without having been forced to do so, but solely because you appreciate that structure, that conditioning, yet you get to do it in an unconditioned way. Fun is not strictly about learning or practice, if anything it's the very fact that you don't have to learn it if you don't want to that makes it fun: you can just mess around, experiment with it and so-on. I think this challenges the idea that fun is a utilitarian concept at all -- it is often fun's very uselessness that seems to be at the center of its appeal. As such, fun is a structured activity that is done in a free way. Fun is freedom, in the simplest sense, a "spreading of the wings", your coat coming loose behind you when you ride a motorcycle. You know that would be fun and yet there's absolutely nothing useful about it. Fun is the realization that, even though we are structured and conditioned, we can also be unstructured, unconditioned, without having to break apart when doing so.