David Williams has a book called [*Probability with Martingales*][1] which includes some excellent puzzles as exercises. These are often easy to state but require real trickery to prove.

In the spirit of doetoe's answer, I also recommend the [Putnam][2]. They don't have a ton of probability based puzzles but they do have some. That website also has old [AIME][3] problems and solutions. In both cases the problems are tricky and fun.


  [1]: http://books.google.com/books?id=e9saZ0YSi-AC&dq=david+williams&printsec=frontcover&source=in&hl=en&ei=PLH4Sb2WCdqwtgf-oPDBDw&sa=X&oi=book_result&ct=result&resnum=14#v=onepage&q&f=false
  [2]: http://amc.maa.org/a-activities/a7-problems/putnamindex.shtml
  [3]: http://amc.maa.org/a-activities/a7-problems/a7-1-archives/2003/AIMEpractice/03AIMEaltq.html