Many phenomena that we take for granted are illusions - color and motion on a TV or computer monitor, for example, or the impression of space in a stereo music recording. Even the stable image that we perceive when looking directly at the real world is illusory. One of the important lessons from sensory neuroscience is that our perception of the world is constructed rather than received. Sensory illusions effectively capture student interest, but how do you then move on to substantive discussion of neuroscience? This article illustrates several illusions, attempts to connect them to neuroscience, and shows how students can explore and experiment with them. Even when (as is often the case) there is no agreed-upon mechanistic explanation for an illusion, students can form hypotheses and test them by manipulating stimuli and measuring their effects. In effect, students can experiment with illusions using themselves as subjects.