I confess the classic Monty Hall problem has always befuddled me. Yes I have read the proofs of how it works and I accept them and even understand them but it remains counter-intuitive to me (at least, I feel you only have a 50/50 chance when offered to change your decision).
It appears that pigeons are much better at this than humans (PDF). Apparently better at it even after humans have been trained on the optimal strategy.
This is MPSIMS so just posting this cuz I thought it was interesting and thought others here might be as well.