"Our brain picks and chooses among the types of sensory information it uses, often relying on expectations and prior experiences to fill in the gaps and simplify processing" (Lilienfeld, 2010). This automatic processing we do everyday of our lives helps us makes sense of the world, however this is also our downfall in that we can easily be fooled by our own brain. This is probably why we are so fascinated by magic shows and illusions. What we think we see and thus believe is dependent on sensation and our perception. Therefore, an illusion can deceive one or both of these to make you believe something that may or may not be real or possible.
Practically every stimulus around us goes through our main sense organs (vision, hearing, touch, smell and taste). From there it undergoes transduction into electrical signals that is sent to the brain, but this is the point where brain processing can go astray. What the brain "thinks" it sees, hear, feel, smell, and/or taste is based on our past experiences; it uses these experiences to interpret the information we can understand.
It is from that information that our perception can, in turn, physically change our response or make us feel or believe something that was caused by the stimulus/stimuli. In addition our perceptions results from multiple senses that affect each other, like our vision and smell, which can make food look appetizing or make us feel sick. Sometimes the brain's false perception could be a good thing. Other times, our perception can also fool us.
The concept of perception is important to understand as this can be used to fool us, such as in magic shows and optical illusions or in the vast amount of advertisements we are bombarded by every day. For those of us that have taken and intro psych. class or understand this concept, it can help us think more carefully and therefore, hopefully, help us avoid being tricked and taken advantage of.