The Monty Hall Problem
Here is a lesson I use most years to wrap up my unit on probability. It really illustrates how probability can be counter-intuitive.
Here are some of the resources I used this year.
The Lesson on NCTM website (Which can be found via ThinkFinity)
My Handout (BTW Dropbox now lets you create links to your documents for even easier sharing. We'll see if it works.)
If people are curious I'll let you know how it goes later this week.