One thing that I have noticed people having trouble with is the idea that any particular event in a class of possible events may be rare, but that the likelihood of some event in the class occuring is nearly certain (as Terry Pratchett says: Million to one shots come up nine times out of ten). One sees this a lot in failure analysis. If a system has 100 parts each of which is 95% sure not to fail, the chance that some component will fail is over 99%. Or, to put it more colorfully, a lot of girls have relied on the fact that any single act of intercourse is unlikely to result in pregnancy. We call them "mothers".

-- Todd Ellner, http://www.psn.net/~xocxoc/math/reader.htm