Some puzzles frustrate. Some tickle. Why?

I play a lot of games. And games are often "puzzle-like" in that you have to figure out how stuff fits/works together in order to progress. I also very much enjoy certain kinds of word puzzles (Scrabble, Boggle, etc.). I've never been great at geometry or math puzzles, though. 

So, it's strange to me that when I'm presented with certain puzzles I can't figure out, I get pissy upon being told the answer. While others, even when I can't figure them out, make me glad. 

BoingBoing just posted a geometry puzzle that, when I read the answer, irritated the crap out of me. It's interesting, kinda... but I mostly felt a combination of stoopid and mildly irritated.

On the other hand, I've known puzzles that made me laugh out loud when I found out the answer. The one that comes to mind was told to me years ago by the father of a friend. He, the dad, was a math professor at Northeastern, and invented some new infinite sets and other crazy smart shite like that that mortal minds can't even understand in the abstract. This was the riddle he posed:

You're on a game show, and you've made it to the final round. The host shows you three doors. Behind two of those doors... is crap. Junk. Stuff you don't want. A lifetime supply of Donkey Chow. Whatever. Behind the third door is the major prize. Call it a million bucks. Whatever. Two bad doors, one good. The host tells you to pick a door, and you do. Doesn't matter which one. Then he puts his arm around your shoulder and says, "Now [your name here], I'm going to show you what's behind one of the doors you didn't pick!" With a flourish, he points at one of the doors and it opens, showing you... some crap. Obviously, he can always show you a crap door, since, of the three, there are two and you only picked one. Easy peasy, rice and cheesy.

"But," says said cheesy host, "I want to give you the chance to change doors... if you like. What's your final answer? Stay with your original choice? Or switch?"

That's the puzzle. Given the above situation, should you; stay, switch, or does it even matter?

If nobody points out the answer in the comments, I'll add it in a week or so.

When the answer was revealed and explained to me, it made my head hurt... but in a good way. It made me laugh.

Why should some unsolved puzzles, upon explanation, cause me glee... and others, woe?