One of my favourites is the "brothers paradox":
https://en.wikipedia.org/wiki/Boy_or_Girl_paradox
I tell it as I learned it*, as follows:
in a village, each family has two children, elder and younger. The children are born with probability $\frac12$ for either boy or girl.
I knock on a door, and a boy opens it and says "I'm the elder". What is the probability he has a sister? (clearly $\frac12$).
I knock on another door, and a boy opens it and says "I'm the younger". What is the probability he has a sister? (clearly $\frac12$).
I knock on a third door, and a boy opens it and says nothing. What is the probability he has a sister?
Now the lies start:
if I use the law of total probability, I might say something like:
$$Pr[sister]=Pr[sister|elder]\cdot Pr[elder]+Pr[sister|younger]\cdot Pr[younger]=\frac{1}{2}Pr[elder]+\frac{1}{2}Pr[younger]=\frac12$$
But on the other hand, I could say that the only case where he does not have a sister is the (boy,boy) setting, and we already know this house is not (girl,girl), so the probability is $\frac23$.
Both are very convincing, if told correctly.
The fallacy is that the sample space is undefined, or put more whimsically "How does the family decide who answers the door?"
*I learned it this way from the legendary Prof. Raz Kupferman.