I agree with pittboi that "entertainment" is not necessarily fun. Grave of the Fireflies is a great movie, but it's not a "fun" movie. "Fun" would just, in my opinion, be an inaccurate way to describe it.
With that said, I'm not sure I've ever played a videogame that I would personally consider both good and not fun. In RPGs, you're slaying monsters, and getting an entertaining story with cackling bad guys and what not. Now, there are trade offs. An RPG might be long and tedious - but, in return, beating it is more gratifying. A member of your party might die, and that might be sad - but, in return, defeating the bad guy becomes more satisfying. An RPG might offer a different, perhaps "deeper" kind of fun than Wii Sports (although there are trade-offs there, too. To get good at the game you have to practice, afterall.) But, I still say rpgs are meant to be fun.
Now, say, a game where you play a ghost who walks around observing the rape of Nanking - that, to me, wouldn't be fun. Informative, maybe.