Let's begin by noting that many of the tasks are seemingly impossible and yet they are done right before our eyes. People don't hover some feet above ground (or a table) elsewhere, they don't do so naturally, and even if you try, you won't manage to do it in the real world. What we see is an illusion. Now I'm not interested in exactly how the illusion is produced, but I take it that some combination of clever distraction and technical devices is at work here. But that's not how we perceive it. We perceive a person levitating.
1) That seemingly impossible things happen cannot be in itself the characteristic thing about illusions that we're looking for — we can find that elsewhere as well, namely in fiction.
The world of the illusionist show is not obviously a fictional world, in the way in which novels or movies create fictional worlds that are apart in time and space. Even though the magicians might sport fancy costumes and exotic names, they're not (at least not always) telling a story about someone else, somewhere else, who does magical things. They often pretend to do it in our world, in the real world. (They don't claim to really perform magic, they're open about the fact that they just pretend to do it for their show; but where they pretend to do it is the actual world.)
Compare this with similar situations in movies. If the fictional world of a movie includes the possibility of people levitating (think Harry Potter), we will probably witness some scenes in which they do. Again, the people who produced that movie have used some technical tricks to create that effect. But in the case of a movie, the thrill of such a scene is weaker (of course it depends on how the levitation is introduced and dramatized). We're used to all sorts of strange things that might go on in sufficiently phantastic film worlds. In an illusionist show, it's not quite the same. After all, everything that goes on does go on before our eyes. There are real people on that stage, and real, physical scenes and props. Moreover, time flows exactly as we know it: when people suddenly change their appearance (their costume, say) in a movie, we take it that they have been photographed at some time, then changed, and at a later time photographed in their different outlook. We don't know much about the timing of production, only about the time of the resulting film. On the other hand, when a shapeshifting magician changes into a completely different look in a mere second or two on stage, there is no such intervening time. Whatever it is exactly that happens, it really happens in those one or two seconds.
2) So it seems it's not just that we are presented with a display of something that's impossible or highly improbable — it isn't just pretended that it happens, but also that it happens under circumstances that pretend to certify that it's real (as compared to trickery). An illusionist will go some lengths about reassuring the audience that they're watching the real thing. For example, I saw a number where a woman was shot out of a cannon into a water bowl, and the magician took care to have someone from the audience write her name on the assistant's arm, so that it was very clear that the woman who was presented in the water bowl was the same one, with those unique marks on her arm, as the one who had crawled into the cannon. We might call this 'non-fiction markers', in contrast to those fiction markers (such as the introductory formula 'Once upon a time...') which signal we're entering a fictional world. A non-fiction marker is intended to signal the exact opposite: it admonishes us to situate what we're about to see in the actual world; instead of being asked to suspend disbelief, we're asked to fire up disbelief and actually equip it with all our attention and perceptive capacities. We're encouraged to believe nothing unless we've satisfied us with our own eyes that it's all real. (Even though we know it's not.)
3) If someone asks you to imagine something, you have some leeway to not do it. For example, suppose you're asked to imagine there was no blogging, that the internet hadn't even been invited. You can now wonder what the world would look like if that was the case, but then again, you don't have to. You can simply refuse to imagine such a thing. Likewise, when you're watching a movie or reading a novel, especially if it's a bad one, you may refuse to get immersed in it. You can tell yourself that this is all 'just made up', you can focus your attention on the attempted (though not quite achieved) effect which it is supposed to make but actually doesn't.
With magic, that's more difficult, because illusionist magic projects the imaginary things that go on into the actual world. Magical illusions thus stimulate imagination more thoroughly; they almost force it out. Unless you really see through an illusion (which is something a clever magician will work hard to prevent), you'll have severe difficulties to refuse imagining that things such as levitation are going on here. At the very least, you'll constantly be asking yourself how it is done. But in addition, you'll constantly be encouraged to quickly consider what you're seeing as an option. You will, that is, for a moment ask yourself whether there is really a woman hovering around on stage, or whether you're deceived; but even if you are quick to reject the first option, it has presented itself to your perception for a moment, and so it has at least as a possibility briefly existed in your mind. The space of options that exist in the world widens, even if only for a moment, to include it. And if I'm right, that contributes considerably to the illusionist effect: it widens the space of options, stimulates imagination; and it does so in a manner that's very difficult to escape while you're sitting in the audience.
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