Simpson's paradox is amazing, it's worth reading all the examples in the article and really understanding it.

Another good source is Martin Gardner's "Aha! Gotcha" book. He presents the paradox as a woman trying to find eligible bachelors at a party. In room 1 her odds are better if she goes for guys with mustaches. In room 2 her odds are also better if she goes for guys with mustaches. But when everyone goes into one room, her odds are better for guys without mustaches. It's incredible.