I do this activity as an introduction to the nature of science. An object (not easily guessable) is put into a paper bag. The job of the class is to figure out what is in the bag. At first, the students are simply shown the bag (sense of sight). Discussion (hypotheses) ensues on what could be in the bag. I then walk around and shake the bag so students can hear what's in it (hearing). This results in more discussion, with some previous ideas being discarded. The bag is then passed around and students can feel (but not open!) the bag and also try to smell it. Even more discussion happens as students try to agree on what is in the bag. After they come to one or two ideas, I ask what else they could do (besides open the bag) to find out the answer. If it is easily doable, I perform their experiment (for example, dropping the bag on the floor). Finally, they come to their "answer."
And I end the activity. Without opening the bag. Ever.
We have a discussion (and come back to it throughout the semester) about how this relates to science (for example, reaction mechanisms). Scientists propose an explanation based on the observable data. Additional experiments might result in refinement, or wholesale change, in what the proposed explanation is. But, most often, there is no way to "know" the answer. We cannot open the bag.
Students will reflect on the nature of science, including proposing hypothoses on the basis of observable data.
Students will constructively engage with the idea of not always being able to know an "answer."
A bag with an object of some kind (not easily guessable, and not breakable or perishable works best). When I did it, I used a bunch of fake grapes from a home decore store with the stem removed, but many other objects would be possible.
I have done this as a near the begining of the semester activity in a first-year science seminar as a way to introduce science, and begin to have students think in less "science and math is about getting the right answer" terms. The key here really is to NEVER open the bag. The students get increasingyl insistant, and will come to your office (I currently have rising seniors I did this activity with 3 years ago who STILL come by and ask what was in the bag). I kept the bag on a a shelf in the clasroom the entire semesster. Students referred back to it many times in our disccusions.