Video games consist of levels that require problem solving skills to complete. Thus video games enhance our problem solving skills.
Video games help the players escape reality for a bit which helps them relieve stress.
Video games need to be observed carefully for hints etc. This enhances both short-term and long-term memory of our brain.
Video games require a lot of attention and concentration which helps them complete many complex tasks in the game simultaneously, making them a multitasker.
Sometimes games require quick thinking and decision making, which helps in building decision making skills.
The game boosts creativity and helps the players think in an innovative way.
Video games which have story driven characters often connect the players emotionally with the game characters, which helps develop empathy in them.