There's a really interesting 
article at Wired about magic.  It turns out that magic takes advantage of limitations in the ways our brains work.  As Penn and Teller have discovered, even if you know what they are doing, you are still fooled.
If the article piques your interest, check out Teller's great shadow trick 
here.
And 
this demonstrates that even if they explain what they're doing, you are still fooled.