A Shepard tone is an audio illusion that sounds as if it's constantly rising in pitch. Play it for ten minutes and it appears to your befuddled brain as if the frequency is getting higher and higher, without ever leaving audible range. Check it out:
The illusion works because there are actually multiple tones all playing at once, and as the highest go out of range of your hearing, they're faded out, while others fade in at low (but also rising) pitch. It's the auditory equivalent of the visual illusion created by a rotating barber's pole. For those of you who remember barber's poles.
More about this phenomenon from The Atlantic.