Because we use expectation to judge and navigate in the world.
Eg.
You are used to seeing things fall down, so when someone lets go of something you expect to see it do so. When it does not, you are astounded because what you are seeing is something that is contrary to past experience.
I think this is the major reason why people can be decieved by magic. If you don`t expect anything, magic would mean nothing. So if you want to capitalise on this, find an assumption which most people will probably hold true and design a way to break that assumption (or at least make them doubt its validity). You would have then performed a bit of magic
(Obviously your own ethics are key here, most people agree that you cannot communicate with the dead. So don`t find a way to cheat them into thinking that you can, that would be wrong

(cough cough John Edwards cough cough charlatan)