Trolling around on the internet, as one does, I came across instructions for a 3D cube Illusion by Nick Robinson:

I needed something that was relatively quick (times are busy, it was late) so thought I would give it a try.

The units are pretty easy to fold, fairly difficult to fold well – small inaccuracies make the construction difficult. They interleave with some difficulty but the end result is quite nice (see, in the middle, there is a cube, sort of).

This reminds me a little of the Penrose Triangles, also by Nick Robinson in their simplicity but effectiveness.