The Efficient Market Hypothesis
One of the best real-world explanations for the efficient market hypothesis that I've heard came from a young man who took several courses in our department (and who is well on his way to being a big shot in the investment world):
OK. You are sitting at your computer, on Ameritrade, and you want to beat the market. Meanwhile, in New York, there are 30,000 people who have more experience than you in buying and selling investments. They also have access to information quicker than you do. What makes you think you are smarter than them?