Depends on the cat too. I've got one right now that only wants to chase, not catch. He doesn't care about catching the feather on the string, or the toy that I throw, he just wants an excuse to go zoom.

It'd be nice if he could figure out how to fetch though. I'll throw a toy, and he'll go racing after it, but then when he gets to it he just comes back to me so I can throw another one.