I wanted to post this in the Season 2 thread, but it’s closed so I’ll just mentioned here that this week’s episode of This American Life has a segment on the Invisi-Ball Trick, which Teller performed on episode 2 of season 2:
Host Ira Glass interviews Penn and Teller (separately) about the conception, development, and execution of the trick. In fact, Teller actually performs the trick close-up for Glass, allowing him to see exactly how it’s done. Glass wasn’t permitted to explain to the radio audience the exact mechanism, though what he does say about his reaction of the trick (even knowing how it’s done) is well worth hearing.
Incidentally, later in the same episode David Kestenbaum does a very nice segment on how David Copperfield made the Statue of Liberty disappear. Yes, we all know how it was done (or are just a Google search away from the explanation) but Kestenbaum makes the piece interesting by tracking down and interviewing some of the people who were involved in the performance.