Hex was invented/discovered by Piet Hein.  It a connectivity game, in the same family of games as Twixt, Bridge-It, and has some aficionados among Go players as well.  It is a perfect example of one of those 'a minute to learn, a lifetime to master' games.
- David Boll's Hex FAQ

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Hexy
http://home.earthlink.net/~vanshel/Hexy1-74.exe
Apparently Hexy by Vadim V. Anshelevich is the best Hex program in the world.  It has very useful features and a killer AI.

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Queenbee Hex Online
http://games.cs.ualberta.ca/webgames/hex/
Queenbee is supposed to be the second best Hex program in the world.

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Vadim V. Anshelevich
http://home.earthlink.net/~vanshel/

Bert Enderton's Hex FAQ
http://www.frii.com/~dboll/hexfaq.txt

David Boll's Hex FAQ
http://www.frii.com/~dboll/hexfaq.txt

Queenbee's home page
http://www.cs.ualberta.ca/~queenbee/
"Welcome to my home page! I am a Hex playing program, written by Jack van Rijswijck. I was originally born in 1994 as a Pascal program. In my adolescence I transmogrified into C, and I am now reaching full maturity by learning all about state-of-the-art game playing algorithms. "

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"According to one Hex history page, a Danish poet and mathematician named Piet Hein invented Hex while contemplating the famous (among math devotees) four color theorem. It is also believed to have been developed independently by John F. Nash. Still others claim that Hex was devised by students at Princeton University, who supposedly played the game on bathroom tiles in one of the buildings." 
- PlaySite Hex http://www.playsite.com/games/list.gsp?root=playsite.board.hex
