From Wikipedia:

The shell game dates back at least to Ancient Greece. It can be seen in several paintings of the European Middle Ages. Later, walnut shells were used, and today the use of bottle caps or matchboxes is common.

In the shell game, three or more identical containers (which may be cups, shells, bottle caps, or anything else) are placed face-down on a surface. A small ball is placed beneath one of these containers so that it cannot be seen, and they are then shuffled by the operator in plain view. One or more players are invited to bet on which container holds the ball – typically, the operator offers to double the player's stake if they guess right. Where the game is played honestly, the operator can win if he shuffles the containers in a way which the player cannot follow.

In practice, however, the shell game is notorious for its use by confidence tricksters who will typically rig the game using sleight of hand to move or hide the ball during play and replace it as required. Fraudulent shell games are also known for the use of psychological tricks to convince potential players of the legitimacy of the game – for example, by using shills or by allowing a player to win a few times before beginning the scam.

Over the years many magic manufacturers have tried their luck at making a "perfect" set of shells at a reasonable price. This listing includes several of these offerings. Manufacturer descriptions follow. 

• The Vernet Shells are perfectly balanced, made of unbreakable plastic and the inner surface is curved to allow easier manipulation of the special pea. Very realistic in appearance, these are simply the best shells available.
• Royal Magic set -  The classic shell game.  Comes with three shells and two peas. These peas are more like tiny little pom poms. Please check the pictures for details. No instructions included.
• Magic Makers Perfect Three Shell Game - They're the first shells ever made in elastomeric resin. What's the difference? Elastomeric resin is what calculator buttons are made of. It's like regular plastic, but it's just a bit more rubbery. That makes our shells easier to grip during performance!
  
  Our shells are molded from real large walnuts thanks to Mother Nature. The secret design features are added to make the shells glide, rock, and grip perfectly. Even the small opening notch has been built into these shells preferred by the pros!
  
  Come with the perfect peas! Our peas are TACKY. That means if you drop one during performance it won't roll on the floor. Try it. Roll it, drop it, push it, spin it. Our pea just stops & waits for you to pick it up! The pea is a perfect design for these shells. Comes With Complete Instructions On The Shells
• Mak Magic Shells - comes boxed, with instructions.
• Adams Magic - Vintage set, no longer made by this company. The design on the shells is very similar to the Royal Magic Set. The "peas" are small pieces of sponge. Instructions included. Package may vary from the one pictured, but it should be the same style (cardboard around a clear "window")
• Empire Magic: These are similar to the Adams or Royal shells, but they come with two round peas.
  
• No Brand set - From Pedro: I wish I knew who makes these, because they look great. They were just sitting here in a drawer... They come without instructions, three shells and two terrific peas in a small zip bag.