Researchers tape-recorded the sentence 'The state governors met with their respective legislatures convening in the capital city'. Then they doctored the tape, substituting a cough for the first 's' in 'legislatures'. Volunteers heard the cough alright, but they heard it happening between the words- they heard the missing 's' too. Even when they were specifically instructed to listen for the missing sound, and even when they were given thousands of trials of practice, volunteers were unable to name the missing letter that their brains knew ought to be there and had thus helpfully supplied.
Even cooler was this one
Volunteers listened to a recording of the word 'eel' preceded by a cough (which I will denote with *). The volunteers heard the word 'peel' when the it was embedded in the sentence 'The *eel was on orange', but the heard the word 'heel' when it was embedded in the sentence 'The *eel was on the shoe'. This is a striking finding because the two sentences differ only in their final word, which means that volunteers' brains had to wait for the final word of the sentence before they could supply the information that was missing from the second word. But they did it, and they did it so smoothly and quickly that volunteers actually heard the missing information being spoken in its proper position.