I enjoyed William M. Briggs' ("Statistician to the Stars") post today: "Frequentists are Closet Bayesians: Confidence Interval Edition". Getting your head around the (correct) interpretation of a confidence interval can be difficult for students. Try teaching it - and keeping a straight face! It's a challenge, to be sure. On such days, my Bayesian inclinations percolate to the top.
That being said, I thought it would be worth pointing newcomers to this blog to a post of mine from 2011 that relates closely to what Matt Briggs has to say. The post tells a tale from the early years at the USDA Graduate School, where Jerzy Neyman presented some guest lectures/seminars in the 1930's. You'll find it all here.
Students may take some comfort from the interchange that is reported in the latter part of the post.
Update: In the post I refer to a paper by my colleague, Malcolm Rutherford: "The USDA Graduate School: Government Training in Statistics and Economics, 1921-1945". It's now published in the December 2011 issue of the Journal of the History of Economic Thought (vol. 33, no. 4, pp. 419-447). If you don't have online access to this journal, the Working Paper version of the paper is available here.