I think the problem is that people forget Monty Hall has information that the contestant does not. The naive assumption is that he's just picking a door and you're just picking a door. The unsophisticated viewer never really stops to think about why Monty Hall never points to a door and reveals a prize by mistake.
One way I've had success explaining it is to expand the problem to more than three doors. Assume 100 doors. Monty Hall then says "Open 98 doors" and fails to reveal a prize behind any of them. Now its a bit more clear that he knows something you don't.