Alen Hajek's #probability #puzzles and #paradoxes on the 80k hr podcast was mind blowing.
But I think I solved the St Petersburg Paradox.
Imagine a casino that offers exponentially increasing payoff on coin toss sequence (example outcomes below).
That should give infinite expected value, so you should be willing to pay a lot of money to play. But in reality casino can profitably price it for $1000 or so.

H pays $2
T H pays $4
T T H = $8
N*T H = 2^N $