I think the 3 children with dirty faces puzzle is a good one for this type of talk (also referred to as the "blue-eyed islanders puzzle" on Tao's blog http://terrytao.wordpress.com/2008/02/05/the-blue-eyed-islanders-puzzle/):
I came home yesterday to find that my 3 kids had been playing rugby and all had dirty foreheads. I told them that whoever could tell me whether their own forehead was dirty would get a shiny new bike. After looking at each other for a moment, they seemed uncertain. I asked again, "No ones knows?" Still no reply. Finally I shrugged and said, "Well, if you can't tell me then no one gets a bike," at which point all three simultaneously shouted: "My forehead is dirty!".