I asked in an entry a little while ago: what do you call it when you trick the audience into expecting something will happen, and then you withhold what they're expecting?Piers
suggested the excellent "shoe trick." As in, you drop a shoe, and then they wait for the other shoe to drop, but it never comes.
But Piers' suggestion brings to mind a more self-explanatory term: the shave-and-a-haircut trick.
(No Toon can resist the old 'Shave-and-a-haircut' trick.)
You set up the audience's expectation with 'shave-and-a-haircut,' and they're just waiting for 'two biiiiiits.' But it doesn't come...