Here is an example of an interesting auditory illusion called a Shepard scale. Listen to the video, then replay it. Again. And again.
From Wikipedia: A Shepard tone, named after Roger Shepard, is a sound consisting of a superposition of sine waves separated by octaves. When played with the base pitch of the tone moving upwards or downwards, it is referred to as the Shepard scale. This creates the auditory illusion of a tone that continually ascends or descends in pitch, yet which ultimately seems to get no higher or lower. (via)