Portions of this are taken directly from Three Things I've Learned About Bayes' Rule.
One time, someone asked me what my name was. I said, “Mark Xu.” Afterward, they probably believed my name was “Mark Xu.” I’m guessing they would have happily accepted a bet at 20:1 odds that my driver’s license would say “Mark Xu” on it.
The prior odds that someone’s name is “Mark Xu” are generously 1:1,000,000. Posterior odds of 20:1 implies that the odds ratio of me saying “Mark Xu” is 20,000,000:1, or roughly 24 bits of evidence. That’s a lot of evidence.
Seeing a Wikipedia page say “X is the capital of Y” is tremendous evidence that X is the capital of Y. Someone telling you “I can juggle” is massive evidence that they can juggle. Putting an expression into Mathematica and getting Z is enormous evidence that the expression evaluates to Z. Vast odds ratios lurk behind many encounters.
One implication of the Efficient Market Hypothesis (EMH) is that is it difficult to make money on the stock market. Generously, maybe only the top 1% of traders will be profitable. How difficult is it to get into the top 1% of traders? To be 50% sure you're in the top 1%, you only need 200:1 evidence. This seemingly large odds ratio might be easy to get.
On average, people are overconfident, but 12% aren't. It only takes 50:1 evidence to conclude you are much less overconfident than average. An hour or so of calibration training and the resulting calibration plots might be enough.
Running through Bayes’ Rule explicitly might produce a bias towards middling values. Extraordinary claims require extraordinary evidence, but extraordinary evidence might be more common than you think.
I think in the real world there are many situations where (if we were to put explicit Bayesian probabilities on such beliefs, which we almost never do), beliefs with ex ante ~0 credence quickly get extraordinary updates. My favorite example is sense perception. If I woke up after sleeping on a bus and were to put explicit Bayesian probabilities on anticipating what I will see next time I open my eyes, then my belief I'd assign in the true outcome (ignoring practical constraints like computation and my near inability to have any visual imagery) has ~0 credence. Yet it's easy to get strong Bayesian updates: I just open my eyes. In most cases, this should be a large enough update, and I go on my merry way.
But suppose I open my eyes and instead see people who are approximate lookalikes of dead US presidents sitting around the bus. Then at that point (even though the ex ante probability of this outcome and that of a specific other thing I saw isn't much different), I will correctly be surprised, and have some reasons to doubt my sense perception.
Likewise, if instead of saying your name is Mark Xu, you instead said "Lee Kuan Yew", I at least would be pretty suspicious that your actual name is Lee Kuan Yew.
I think a lot of this confusion in intuitions can be resolved by looking at what MacAskill calls the difference between unlikelihood and fishiness:
Put another way, we can dissolve this by looking explicitly at Bayes' theorem. P(Hypothesis|Evidence)=P(Evidence|Hypothesis)∗P(Hypothesis)P(Evidence)
and in turn, P(Evidence)=P(Evidence|Hypothesis)∗P(Hypothesis)+P(Evidence|OtherHypotheses)∗P(OtherHypotheses)
P(Evidence|Hypothesis) is high in both the "fishy" and "non-fishy" regimes. However,P(Evidence|OtherHypotheses) is much higher for fishy hypotheses than for non-fishy hypotheses, even if the surface-level evidence looks similar!