I'm a sucker for magic. I've never seen a live show, but I have caught a number of David Copperfield, David Blaine and Criss Angel shows on tv over the years... as well as the four-part "Breaking the Magician's Code" series featuring the "Masked Magician".
But, for me, nobody does it better than Penn & Teller... especially when they'll go so far as showing you how the trick is done, and it still doesn't seem possible. In a recent pair of articles for Smithsonian.com, the silent half of the duo, Teller, talks about how magic is done in a way I haven't seen expressed so neatly before.
In the article, Teller Speaks on the Enduring Appeal of Magic, he talks about how he got into doing magic and the intellengence of magic, both on the part of the performer and the audience. In Teller Reveals His Secrets, he lays out seven principals of magic, and then shows how they're all used in a common trick. Again, as is always their strong suit, even after walking me through the trick, it still somehow seems magical to me.
For an example of this, here is a 2010 YouTube clip of the pair doing the classic "cup & balls" illusion: first with red plastic cups... and then with clear plastic cups. And, even though everything is spelled out for you the second time around, the skill with which they do it is incredible.
» Found at: Smithsonian.com – "Appeal" / "Reveal"