A while back I had mentioned a program called Chess Hero, that would pick positions from set of games and let you do guess the move exercises.
Well in the time since then a newer version was released which allows you to play guess the move through entire games (sequential) instead just random selection of positions in a set of games. While it was already an interesting tool for training, I believe this addition makes it a lot better. Want to practice playing like Alekhine? Grab a set of his games, make a profile, and off you go. Your move is checked against the analysis of a uci engine, but you also can have it say that the gamescore is the top answer.