Mighty Optical Illustions has three interesting audio files that play tricks on your ears.
Shepard's ascending tones (MP3) – This is a recording of Shepard's paradox synthesized by Jean-Claude Risset. Pairs of chords sound as if they are advancing up the scale, but in fact the starting pair of chords is the same as the finishing pair. If you loop this sample seamlessly then it should be impossible to tell where the sample begins and ends.
Falling bells (MP3) – This is a recording of a paradox where bells sound as if they are falling through space. As they fall their pitch seems to be getting lower, but in fact the pitch gets higher. If you loop this sample you will clearly see the pitch jump back down when the sample repeats. This reveals that the start pitch is obviously much lower than the finishing pitch.
Quickening Beat (MP3) – This recording is subtle. A drum beat sounds as if it is quickening in tempo, but the starting tempo is the same as this finishing tempo.