Juan pedals up to the Mexican border on his bicycle. He's got two large bags over his shoulders.
The guard stops him and asks, "What's in the bags?"
"Sand," answers Juan.
The guard says, "We'll just see about that. Get off the bike." The guard takes the bags and rips them apart. He empties them out and finds nothing but sand.
He detains Juan overnight and has the sand analyzed, only to discover that it is pure sand.
The guard releases Juan, puts the sand into new bags, hefts them onto the man's shoulders, and allows him to cross the border.
A week later, the same thing happens. The guard asks, "What have you got?"
"Sand," says Juan.
The guard does his thorough examination and discovers that the bags contain nothing but sand. He gives the sand back, and Juan crosses the border on his bicycle.
This sequence of events is repeated every day for three years. Finally, one day, Juan doesn't show up and the guard sees him in a cantina in Mexico.
"Hey, Buddy," says the guard, "I know you're smuggling something. It's driving me crazy. It's all I think about. Just between you and me, what are you smuggling?"
Juan sips his beer and says, "Stolen bicycles."