Online search for Diana Deutsch. She is the expert on audio illusions and she has a webpage that explains this one and others.
Any chance you could be a bit more specific? Can’t find it on there…
My mistake. It took a minute for me to recognize it.
Although Dr. Deutsch is THE researcher in audio illusions, this one is Shepard’s Paradox. Search on that.
Actually, I still can’t find a link that actually explains it, only demonstrations…
Nevermind, have to look for Shepard illusion: Shepard tone - Wikipedia
So does anyone want to explain this to an audio dummy? 
You overlap ascending tones. When one reaches a certain pitch it starts over at the begining.
Go to wikipedia
search for Shepard tone
Profit (or OpalCat)
To the human ear, two notes an octave apart (which means the frequency of one is twice the frequency of the other) sound like the same note, to a large extent. There are several notes playing at the same time. The tones constantly go up in small steps, but then a tone will suddenly go down an octave. You don’t notice that, so all you hear is the upward motion.
The verse of Kashmir by Led Zeppelin uses a similar effect.
A Shepard tone can also go down: http://www.youtube.com/watch?v=DfJa3IC1txI&feature=related You can hear the higher notes coming pretty easily, though.
Other illusions: http://www.youtube.com/watch?v=e6JSTkwXg90&feature=related
The idea behind the Shepard Scale is that you have a tone and its harmonics with each harmonic rising (or falling) in frequency but maintaining a constant ratio. It’s easiest to think about this on a logarithmic frequency scale and a linear time scale. The harmonics are then represented by a grid of straight lines, the frequency rising exponentially with time. The trick is to make the amplitude of each tone peak when it is within a certain range of frequencies and taper off at higher and lower frequencies. As the fundamental frequency rises, it is replaced by subharmonics whose amplitude is rising, while the amplitude of its harmonics are falling. Since every tone is continuously rising in frequency, the auditory effect is that the frequency is going up, even though the cycle is repetitive. The linked audio clip embellishes this by playing a set of bursts, rather than a continuous set of tones. Either way, it creates an interesting auditory illusion, similar to the M.C.Escher drawing of the continuously ascending staircase or descending cascade of water falls.
The last illusion in this clip is interesting to me; it says that the sound can only be heard by those under 20. I’m over 30 (just) and I can hear it clearly (albeit somewhat faintly). I remember hearing about this being used as a ringtone by students who didn’t want their teachers to hear and they noted that a fair number of people over 20–especially women–can hear the tone. I’m a guy and over 30, so you’d think I wouldn’t hear it, but that not the case apparently.