Monty Hall
The Monty Hall problem is a fun little probability problem.
Monty Hall, the host of a game show, presents three doors to you. Behind one door is a luxurious car, but behind the other two simply lie rabbits. You must pick one door, the ultimate goal being to win the car.
Once you have picked a door, Monty will open a different door – one with a rabbit behind it. Now, does the knowledge of what is behind this door help you in any way with your choice? Do you stick with the door you originally chose, or would you now like to select the other door?
This program is free, and freely redistributable as-is, and can be downloaded here as a zipped file which includes sound and graphics 
Future versions will include more helpful instructions about probability, including the ability to review the decisions and results that have occurred.