If you want to improve your typing speed in a fun way, Typer Shark is the answer! I believe Yahoo has it for free in Yahoo games. You have this little diver guy with sharks coming at him, and the way to get rid of the sharks is to type letters they have on the side. The game goes faster and gets more complicated as you play.

This game improved my typing skills. Before, I can write 15-20 words per minute, now, I'm doing 40-50 words per minute. It really helped me.