With regard to the:
"I saw how you did that!"
"[Insert filler] then you can show us all how!" approach, I've tried that approach, but has anyone ever had it work? All (I think) that does is give them the chance to ruin any "magic" you have your audience believing because he will most likely respond with, "Well, I haven't practiced, but I'm sure you've put in a lot of time. (Or something of the sort)"
I feel like this just prompts a response with a comment about sleight of hand. While everyone "knows" that there is some secret, it's great if they relinquish beliefs for a little bit. Comments?
SG
I think this is the absolute worst thing you can do. What are going to achieve by challenging to do it themselves? If they can't do it you haven't gained anything, you just look very insecure and immature.
Can you imagine a well respected magician such as David Blaine, Wayne Houchin, Chris Kenner etc saying 'I bet you can't do it, go on try it.. LOL you suck you can't do it.