I actually know what Penn & Teller mean by this. Well, Teller anyway. I had a discussion with him about it (yes, he can talk) before they became famous and such discussions became rare commodities.
What they mean is that the secret behind many tricks is dirt simple, and often far more straightforward than the viewer predicts. It's disappointing for two reasons. First, we want to believe that stage magic is uncommonly clever, and it's pleasing to be shown clever things that work. Being shown a simple something that we already suspected but couldn't prove is less exciting. Second, and paradoxically, we want to believe that we can be fooled only by very clever things. It's a blow to the ego to discover that the assistant merely arranges herself strategically in the deceptively ample box to avoid the swords. We wanted it to be more complicated than that because the whole premise of the trick -- our minds tell us -- is that the box is too small.
That's the nugget of truth for this thread. We all like to think we're smart enough not to be fooled by such "obvious" tricks as cold reading, or as straightforward a trick as someone looking up information about us that we thought was obscure. Sad fact is that our notion of what is possible and impossible is too often misinformed and misconceived.
That would seem to cut both ways. Who are we to say that spirits and mediums are impossible? Not us -- we don't say it's impossible, just that there's no evidence to support that as the explanation for our observations. What we have evidence for are such things as hot and cold readings, which are intended to play against our mistaken beliefs for what is possible. They aim to deceive, and often succeed because they are aimed well. It is the proponent of "genuine mediums" who have the entrenched notions of what must be impossible, and the so-called mediums use that to great effect. They know we won't want to believe that we were fooled by such mundane means.