The McGurk effect is an illusion that proves that what we hear is directly affected by what we see. It seems counter-intuitive that the sense of hearing can be affected by our vision, but it’s true. Check out this short clip from the BBC show Horizon to see how it works:
What makes the McGurk effect so especially interesting is that the illusion always works, even after the subject knows how it works. Most optical illusions, by contrast, seem to not work once the subject understands how it works. But the McGurk effect appears to be a fundamental part of the human mind.
Read more about it at Wikipedia here.