Illusion Songs is a great collection of auditory illusions demonstrating some of the curious ways that our brains perceive sound through the study of psychoacoustics. The collection includes Shepard Tones/Risset scales, which appear to be forever increasing in pitch, and various demonstrations of streaming, which shows how our brain collects and groups audio information together. One of the most effective illusions I’ve seen is the McGurk effect which shows how, when our brain tries to make sense of conflicting data, it can make you think you are perceiving something that isn’t there. You can see this effect in the video below
The resources section of the Illusion Songs site also links to a download of the companion material of Albert Bregman’s book Auditory Scene Analysis: The Perceptual Organization of Sound, which is a great collection of these demos and a fabulous resource.