Suppose you’re on a game show, and you’re given the choice of three doors: Behind one door is a car; behind the others, goats. You pick a door, say No. 1, and the host, who knows what’s behind the doors, opens another door, say No. 3, which has a goat. He then says to you, “Do you want to pick door No. 2?” Is it to your advantage to switch your choice?
From “Ask Marilyn” column in Parade magazine in 1990 as quoted on the Monty Hall problem on Wikipedia [ via Keith Devens ]
I won’t give away the answer, but I will say that there is a specific choice that leads to a greater probability of getting the car. The Wikipedia page covers this in surprising detail.