I was recently playing with this Wolfram Demonstrations applet, which demonstrates beats.
At first I thought the app didn't work because I couldn't hear any beats. Then I realized that the applet doesn't analytically add two sine waves of nearby frequencies and play the result; it plays different sine waves to the left and right audio channels. Since I had headphones on, I only heard one frequency per ear, and only consciously detected a single tone. When I took the headphones off and held the ear buds close together, I could hear the beats distinctly.
Messing around a little more, I found that when I lower the frequency to around 600 Hz or lower, I begin to be able to hear the beats even with headphones on.
What's happening? Are my ears for some reason picking up relative phase information only at lower frequencies? Are only lower frequencies transmitted effectively through my skull?
I would guess it's a coincidence that I begin to hear beats when the wavelength of the sound (in air) is on the order of the distance between my ears, but is that right?