Here is a nice question due to John Conway. In a magical 4x4 square, show that the XOR composition of the four numbers, written in base 2, in every row and in every column is zero. This applies to a square in which the numbers 0 to 15 are used (rather than 1 to 16).
For instance, a typical row might be 0 15 14 1, which in binary is 0000 1111 1110 0001, and in each of the four positions there happen to be two entries 0 and two entries 1, so the binary sum is zero.
Of course there are only finitely many possible magic 4x4 squares, and you can give proof by "complete inspection" (aka brute force). In fact, that has been done, so the result is true. But neither he nor I know a conceptual proof. Should be easy to understand about a classical problem -- and yet seems not obvious. Try it!
(Incidentally, the binary sum along the diagonals need not always be zero; that's not part of the question.)