Uphill flowing water illusion
This was listed on Slashdot, but in case you haven't seen it, check out this BBC News article. The article suggests the illusion is very effective on people, I really wish I could see this live.
I wonder whether a circular one (instead of square shaped) would work: are the bubbles going to have nice and circular upward flow under a helix?
In the same "air and water tricks" spirit, dolphins are able to make air rings underwater. They are similar to smoke rings that some smokers do.
The really cool Exploratorium in San Francisco has demonstrations of these, where you can pump to air into a water tank to make these vortexes.
Update: Another water illusion based on a simple principle: the anti-gravity waterfall, with water droplets that appear to fall upwards.