The "problem of three prisoners", a counterintuitive teaser, is analyzed. It is representative of a class of probability puzzles where the correct solution depends on explication of underlying assumptions. Spontaneous beliefs concerning the problem and intuitive heuristics are reviewed. The psychological background of these beliefs is explored. Several attempts to find a simple criterion to predict whether and how the probability of the target event will change as a result of obtaining evidence are examined. However, despite the psychological appeal of these attempts, none proves to be valid in general. A necessary and sufficient condition for change in the probability of the target event, following observation of new data, is proposed. That criterion is an extension of the likelihood-ratio principle (which holds in the case of only two complementary alternatives) to any number of alternatives. Some didactic implications concerning the significance of the chance set-up and reliance on analogies are discussed.