I had the privilege of studying probability from G-C. Rota. One of my favorite quotes from him was "Randomness is not what we expect", which he used to describe the phenomenon of people disbelieving that random data was actually random. Another great was "This will become intuitive to you, once you adjust your intuition to the facts."
A good way to show how the "Randomness is not what we expect" phenomenon manifests is the following. Given a fair coin that outputs Heads (H) or Tails (T), which of the following sequences is more or less probable HHTHTT or HHHHHH Answer: Both are equally probable strings to be generated by the fair coin and each should occur once in every 64 sequences (~1.56%)
HHHHHH THHHHH
Answer: THHHHH. Only 1/(2^6) of the time it will be HHHHHH. The only way to get HHHHHH will be if the first 6 flips are heads. If you don't flip a head you must have got a tail which means THHHHH will always appear before HHHHHH.