The New York Times has an article on magical thinking – the mental process of making connections between unrelated or loosely-related things.
Magical thinking is thought to exist on a spectrum, from hunches, creative leaps and superstitions at one end, to frank psychosis at the other – where the connections become so odd as to lead to delusions.
As children we, perhaps, experience magical thinking at its strongest. Children live in magical worlds where moving trees cause the wind to blow and toys come to life after dark.
The link between magical thinking in children in adults is rarely discussed, but it was the subject of an 2004 article published in The Psychologist.
The NYT article looks at magical thinking in all its guises, and discusses its possible roles in religion and spirituality, and how it is affected by stress and coincidence.
Link to NYT article ‘Do You Believe in Magic?’.
Link to ‘Magical thinking – Reality or illusion?’ from The Psychologist.
Mind Hacks 
On this topic I recommend Believing in Magic: The Psychology of Superstition by Stuart A. Vyse. It is an excellent, readable overview of psychological research on superstition, including who tends to is superstitious, theories about why we are superstitious and more.
Personally, I am quite partial to the story that superstition yields a psychological payoff in providing a feeling of control over the uncontrollable and has its origin in inferential mechanisms gone bad.
“As children we, perhaps, experience magical thinking at its strongest. Children live in magical worlds where moving trees cause the wind to blow and toys come to life after dark.”
I’m not so sure about this… it’s a common belief about children (that they hold lots of supernatural beliefs), but I don’t remember having any, at all. Was I unusual? I knew when ideas were fanciful, or make believe (while playing games), and I never confused the two.
Has anyone done research on this, or is it taken for granted that children “really believe” the fanciful things they pretend are true, for fun?