The Monty Hall problem (or a subtle variant) is also great one to watch people work through. It's a chance to see if people can thing about probability in a sort of asymptotic way.
Basically (if they get stuck), ask them how they would choose if there were actually a 100 doors, but the same rules apply. Obviously, everyone switches. What about 99? 98? ... turns out, 3 doors is the smallest number where the strategy is optimal. But when the number is large, the answer is much more obvious.
You should be able to convince yourself that the conclusion is correct by writing a quick script to run a simulation with a million or so iterations. Actually understanding the reasoning intuitively is more challenging, but I think the linked article has a good explanation (the part about how the manner in which we receive information is as important as the information itself): http://scienceblogs.com/evolutionblog/2011/11/08/the-tuesday...
Assume they already know it, and ask them to explain it. A good explanation is almost as rare as understanding it.
If they don't know it, then ask to solve.
The early controversy with the Monty Hall problem was that explanations left loopholes, or weren't compelling enough, and even people who who should have known better didn't understand the solution clearly enough.
Yeah, because it's in every easy undergrad stats textbook.
The problem with asking trick questions in an interview is that, although they may make the interviewer look smart, they are orthogonal to the ability to do the job. It's better to ask how to solve a current, pressing problem and see what questions the candidate asks. It's the questions that elucidate thinking style. Also, it's crowdsourcing and you can attribute or blame the candidate as the case maybe.
The other part is getting along, so if an interview doesn't include something fun, it's all boring formality that doesn't allow anyone to get to know each other. Take them to a normal lunch if possible, because much more is learned by how people eat.
One issue I have with Monty Hall problem as an interview question is that the problem statement is too subtle, with several hidden assumptions. Interviewers often end up posing a different puzzle without realizing just by using a slightly different language to pose it.
Basically (if they get stuck), ask them how they would choose if there were actually a 100 doors, but the same rules apply. Obviously, everyone switches. What about 99? 98? ... turns out, 3 doors is the smallest number where the strategy is optimal. But when the number is large, the answer is much more obvious.