Davie's construction of subspaces of $c_0$ and $\ell_p$ ($p\in (2, \infty)$) without the approximation property, as outlined in Section 2.d of Lindenstrauss and Tzafriri's book Classical Banach Spaces I, uses a probabalisticprobabilistic lemma (Lemma 2.d.4, p.87-88). I do not know Davie's proof all that intimately, having been through it only once - courtesy of a fellow grad student who took a couple of hours to go over it in a research group seminar... I remember that it looked like magic at the time.
(Edited once for a typo)