Well, it's easy to embed or encode something like a hot potatoes (hot pot) crossword puzzle or a flash game. What's difficult is creating them - they can't be done with/in Moodle. You need a third party programme or a developer to produce it. With hot pot you could just copy in the exported html code and with a flash game or other similar you could include it within an iFrame.
Have you used the hot pot programme before? it's a pretty easy way to create crosswords here's the link to their page