Penn & Teller's Bullet Illusion
Penn & Teller have plenty of famous illusions, but one of the scariest is their Magic Bullet. In it, they "catch" bullets in their teeth, apparently by shooting them at each other using .357 Magnums.
Now, we all know that this can't really be happening. What's fun about the illusion is trying to sort out what might be happening. There are so many layers to this act, so many moments when misdirection could be happening, that it seems to overwhelm the viewer. How does it work? Only Penn & Teller can say for sure.
What really gets me is the rifling on the bullets. It sure does seem like they've been fired...but how were they retrieved and put in each others' mouths?