It can be absolutely hilarious watching your cat pointlessly chase a little red dot around, but can be very frustrating for your poor cat.
Cats need tactile stimulation - they want to feel the reward of catching their "prey" which they won't get unless your laser play is done correctly.
So what's the right way to do laser play?
Firstly, make sure you set things up at the start. You'll need some soft cat toys and highly prized cat food in addition to the laser. Place the toys strategically around the play area and have the food at hand.
Now you can start the fun by zigzagging the laser beam around and watching the cat chase and pounce. Importantly, every now and then you should let your cat 'catch' its prey by pausing the beam on top of a soft toy and letting her feel the toy under her paws.
Try to avoid ending the play session abruptly. Instead, gradually slow the beam until it rests on a toy and then reward her with some food. This practice more accurately mimics a cat's hunting instinct (complete with reward) and is sure to leave her more satisfied.
And yes, then it really is fun for cat and human alike.
Interested in buying a laser pointer? You can get a laser pointer here.