I had a good optical illusion once. I was flying along the south edge of
Long Island on the east end. This was about a month after TWA800, and
the missile theory had come out. As I look ahead I see what looks like a
long straight streak of smoke going up a few miles in front of me.

Where did it come from?/Where is it going? were my first questions.
After a few seconds, and not getting shot out of the sky, I saw that it
was the shadow on a contrail on the water. It didn't have a solid
surface to be on, so it depth through the water and the distance made it
look to me like it was going through the air.