From Wikipedia:
"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?"
"Contestants who switch have a 2/3 chance of winning the car, while contestants who stick to their choice have only a 1/3 chance. One explanation notices that 2/3 of the time, the initial choice of the player is a door hiding a goat. The host is then forced to open the other goat door, and the remaining one must, therefore, hide the car. "Switching" only fails to give the car when the player picks the "right" door to begin with, which only has a 1/3 chance."