Monty Hall
Three doors. Behind one is big prize, behind the other two is nothing.
You choose a door. Monty then opens one of the other two doors to
show there is nothing behind it (he's not randomly choosing,
he knows what's behind every door)
and offers you the opportunity to either
switch your choice to the third door or to stick with the door you have.
If there are one million doors, you choose one, Monty shows empty 999,998 doors.
What's more likely, you picked the one-in-a-million door or the one unopened door is the winner?