The auditory system is interesting, especially relative to vision. Unlike vision, where you can look at something again if you weren’t sure what it was, something once heard is forever gone. This means that the auditory system has to do a good deal of processing and have what researchers call “sensory memory” to retain what has just happened.
Here are three classic audio illusions you can explore; they have explanations towards the bottom of each page.
Demonstrations of Auditory Illusions, a site by some Japanese researchers, does an excellent job of going through a series of auditory illusions and explaining them. Even better, their site requires only that your browser can play .wav files. They use technical language to describe the experience of the sounds, which may be a bit confusing.
Another, more end-user oriented site is the auditory illusions section of the Illusion Forum.
Please explore these illusions, and feel free to ask me any questions you may have.