A man named Juan comes up to the Mexican border on his bicycle with two large bags over his shoulders.  The guard stops him and asks, "What's in the bags?"

"Sand," answers Juan, to which the guard replies, "We'll just see about that..."

The guard takes the bags, rips them apart, empties them out and finds nothing but sand.  He detains Juan overnight and has the sand analyzed, but discovers that it really is nothing but pure sand.  Finally, the guard releases Juan, puts the sand into new bags, hefts them onto the man's shoulders and lets him cross the border.

The next day, the same thing happens - Juan approaches the border on his bicycle with two bags of sand.  The guard asks him, "What have you got?" and Juan replies, "Sand."  Again the guard does a thorough examination and discovers that the bags contain nothing but sand.  He gives the sand back to Juan, who crosses the border.

This sequence is repeated every day for several months until finally the guard is sitting in a Cantina in Mexico and Juan walks in.

"Hey, Buddy," says the guard to Juan, "I know you're smuggling something...  It's been driving me crazy.  It's all I think about!  I can't sleep.  Just between you and me, what are you smuggling?"

Juan sips his drink and says, "Bicycles."