SPOILERS, I guess
My favorites have actually been the ones that aren't "secret" or meant to deceive, but rather create a brilliant effect in a creative way. Some of my favorites have been:
--Finding Neverland: The glitter at the end
--The Lion King: Pretty much everything, but I particularly love the imagine of the cloth being used to simulate the drying lake.
--Spider-Man: Arachne's weaving in the beginning. Pure brilliance.
--An Octaroon: The cotton ball explosion
--Into the Woods (Fiasco Theatre): The use of a shadow as the Giant.
--Into the Woods (Shakespeare in the Park: The green umbrellas used to show to beanstalk growing.
--Cinderella: The costume changes
--Curious Incident: the part when he's supposed to be floating in space.
--Ghost: The door illusion
--The King and I (2015): The ship in the beginning
--Rocky the Musical: The formation of the boxing ring with the audience