The recent episode of MythBusters featured four fan-submitted myths, one of which was perennial fave The Monty Hall problem.
I was impressed with the way they handled it. They divided it into two problems: first, that there is a strong psychological impulse to stick with your initial choice (assuming you aren't aware of the true probabilities) and second that switching is always a better bet (which it is.)
For the first, they had a horde of 20 volunteers play "pick a door" on a genuine three-door game show stage, with Jamie randomly resetting the prize door and Adam being Monty Hall and offering the switch. Every one of the 20 chose to stick!
For the second, they built a very clever door-picking-game simulator in which Adam and Jamie played 100 games, with Jamie always sticking and Adam always switching. Naturally, the results indicated that switching was a vastly superior strategy.