Possibly the most perplexing thing to learn is how one should express a confidence interval. For example, this month’s issue (#49) of Stats, “the magazine for students of statistics,” states this common misconception: “After you compute a 95% confidence interval for the mean, you can say the probability is 95% that it contains the population mean.” *
I confess that after learning statistics on the job as chemical engineer in the 1970s, I would have agreed with this statement. It wasn’t until the advent of applets allowing one to simulate any number of random samples taken from a normal population and generating confidence intervals that I literally saw how they really worked.
For a great discussion on how to properly describe a confidence interval see this thread posted at the Math Forum of Drexel University by Doctor Wilko (aka Dr. Math). It may help you from falling into this particular trap, one of many as noted in the Stats article, that riddle the field of statistics. Be careful out there!
*(Jessica Utts interview with Jackie Miller titled “Busting Statistical Myths,” page 10.)
**(Stat-Ease provides this applet and others to students of its Statistics for Technical Professionals workshop.)