The game chromatic number $\chi _{g}$ is considered for the Cartesian product $G\,\square \,H$ of two graphs $G$ and $H$. Exact values of $\chi _{g}(K_2\square H)$ are determined when $H$ is a path, a cycle, or a complete graph. By using a newly introduced "game of combinations" we show that the game chromatic number is not bounded in the class of Cartesian products of two complete bipartite graphs. This result implies that the game chromatic number $\chi_{g}(G\square H)$ is not bounded from above by a function of game chromatic numbers of graphs $G$ and $H$. An analogous result is derived for the game coloring number of the Cartesian product of graphs.