The party is trapped in a cave or other small, stone room. There are no exits they can find. However, there are lots of cracks in the walls. From one of this cracks is blowing a small stream of air, which implies that the outside is right through that wall. However, this is completely false. A cruel DM would make no exit from the room, laughing as his players while they try everything they have to enlarge the crack. A nice DM would make an exit somewhere in the room, just not at the crack where the air is coming through.