Passing through solid objects is another David Copperfield favorite. When this trick is performed properly, the magician will appear to pass straight through a solid wall - although they're always hidden behind a screen as they perform their impossible task.
If the screen wasn't there, you'd see what was really happening - the magician walks or crawls through a tunnel below the wall, which was dug earlier on and is also obscured by the screens. Nobody could really walk through a solid wall, and nobody ever has.