One of the first tricks from their Las Vagas stage show is shown in the video below:
The video is part of a fascinating article in Wired Magazine .
The trick is called Looks Simple, and the point is that even a puff on a cigarette, closely examined, can disintegrate into smoke and mirrors. "People take reality for granted," Teller says shortly before stepping onstage. "Reality seems so simple. We just open our eyes and there it is. But that doesn't mean it is simple."
The basic magic principles are:
1. Palm - the lit cigarette
2. Ditch - cigarette in ear
3. Steal - pencil stub
4. Simulate - pull out "cigarette", really the pencil stub
5. Load - real cigarette from ear
6. Misdirect - with flashlight
7. Switch - pencil for cigarette
Here is another interesting video from the same article.
Attention, it turns out, is like a spotlight. When it's focused on something, we become oblivious to even obvious changes outside its narrow beam. What magicians do, essentially, is misdirect—pivot that spotlight toward the wrong place at the right time.
The article also contains a fairly long video of Penn and Teller performing and explaining the Cups and Balls trick.
The main point of the article is that magicians and other sleight of hand "artists" such as pickpockets, are working with scientists in the study of human perception.
Well worth a read.