Grammar is not always the most interesting topic in the world. In class we try to make it interesting by tying it in to the other skills: speaking, writing, reading and listening.
I like the Focus on Grammar books, which contain reading, listening and discussions. Obviously, though, it is meant for class use rather than individual use.
Also check out my site:
www.roadtogrammar.com (which I notice is down this morning but should be back online soon)