Interesting audio illusions from Mighty Optical Illusions:

Audio illusions, also known as Audio Paradoxes are sometimes to be found in nature. The best known audio paradox is known as Shepard’s paradox. It is the audio equivalent of the endless staircase illusion made famous by M. C. Escher. In this audio paradox a series of tones can be made to sound as if they are ascending or descending in pitch forever.

Visual of Shepards paradox

You can download mp3’s illustrating some cool audio illusions, the shepard’s ascending tones, falling bells and a quickening beat here.