This week (Thursday), another full moon will rise as the sun sets. And, since the nights are getting dark so early now, the moon will rise pretty high in the sky before the typical person goes to sleep. So, this month is an ideal time (as is any winter month), to explore the moon illusion.
The moon illusion is quite simple to notice. When the moon is rising, it looks really big. When the moon is high in the sky, it looks smaller. But if you use some measurement technique (say, comparing the moon to the size of your thumb held at arm's length), you'll find that the moon is really the same size at both places! This also means that the moon illusion is not due to the atmosphere, but to something in our heads.
The reason for the moon illusion is controversial; several theories are discussed in the Wikipedia article on the subject. And, every so often, I hear of a new hypothesis explaining the moon illusion. To some degree, all of the ideas make sense, but I am not a psychiatrist or medical expert, and so I don't have the expertise I would need to weigh in with a learned opinion. But, since our distant ancestors rarely had to worry about trouble coming from the skies (a lion is far more dangerous to us than a hawk or an eagle), it makes sense to me that our brains cannot properly interpret sizes of objects in the sky.
The thing that does amaze me is how many people insist that the moon is actually bigger when it is near the horizon than when it is overhead. As I said, you can easily measure the size of the moon by using your own fingertips held at arms' length. But most people never bother to try. In some ways it is similar to the story about the famous Greek philosopher Aristotle, who claimed that men had more teeth than women. However, if he'd ever bothered to count teeth, he would have seen that the numbers are the same. (Of course, there is probably more to the story than that.)