Demonstration is good. I'd try to do several.
A favorite of mine is the Forer effect demonstration, where everyone gets a "personalized" horoscope, rates accuracy and then learns they're all identical. Because that is easy and quick, gets a good laugh and directly relates to the Astrology class that is part of the raison d'etre of this course.
At my local Harry Potter fanclub (Bogotá, Colombia) some members teach "classes" on subjects they're passionate about. We've had informal courses on history, creative writing, English, etc. But recently some other classes have appeared that have made me worry seriously: astrology, divination, ancient runes, and all other sorts of nonsense. They're not taught as folklorical pieces of the past, but as serious practices that are supposed to actually work. I think this is particularly dangerous for the small kids that comprise the majority of the fanclub and still need help learning that magic doesn't exist.
So I proposed the fanclub chief that I could teach a Muggle Studies class: logic, critical thinking, philosophy of science, etc. In two weeks we'll have our first class, and I intend to begin talking about the most common biases. I already downloaded this website's PDF guide to holding a Less Wrong meeting. Aside from that, what can you suggest for a successful Muggles Studies course?