William Briggs has a nice piece on how easy it is to delude yourself into thinking you've found a connection between two factors:

To show you how easy it is to mislead yourself with stepwise procedures, I did the following simulation. I generated 100 observations for y’s and 50 x’s (each of 100 observations of course). All of the observations were just made up numbers, each giving no information about the other. There are no relationships between the x’s and the y2. The computer, then, should tell me that the best model is no model at all.

But here is what it found: the stepwise procedure gave me a best combination model with 7 out of the original 50 x’s. But only 4 of those x’s met the usually criterion for being kept in a model (explained below), so my final model is this one:

explan. p-value Pr(beta x| data)>0
x7 0.0053 0.991
x21 0.046 0.976
x27 0.00045 0.996
x43 0.0063 0.996

In classical statistics, an explanatory variable is kept in the model if it has a p-value< 0.05. In Bayesian statistics, an explanatory variable is kept in the model when the probability of that variable (well, of its coefficient being non-zero) is larger than, say, 0.90. Don't worry if you don't understand what any of that means---just know this: this model would pass any test, classical or modern, as being good. The model even had an adjusted R2 of 0.26, which is considered excellent in many fields (like marketing or sociology; R2 is a number between 0 and 1, higher numbers are better).

Nobody, or very very few, would notice that this model is completely made up. The reason is that, in real life, each of these x’s would have a name attached to it. If, for example, y was the amount spent on travel in a year, then some x’s might be x7=”married or not”, x21=”number of kids”, and so on. It is just too easy to concoct a reasonable story after the fact to say, “Of course, x7 should be in the model: after all, married people take vacations differently than do single people.” You might even then go on to publish a paper in the Journal of Hospitality Trends showing “statistically significant” relationships between being married and travel model spent.

And you would be believed.

I wouldn’t believe you, however, until you showed me how your model performed on a set of new data, say from next year’s travel figures. But this is so rarely done that I have yet to run across an example of it. When was the last time anybody read an article in a sociological, psychological, etc., journal in which truly independent data is used to show how a previously built model performed well or failed? If any of my readers have seen this, please drop me a note: you will have made the equivalent of a cryptozoological find.

Incidentally, generating these spurious models is effortless. I didn’t go through 100s of simulations to find one that looked especially misleading. I did just one simulation. Using this stepwise procedure practically guarantees that you will find a “statistically significant” yet spurious model.

This sort of thing is why we're barraged with studies showing that almost everything will kill you--no, wait! they'll make you live forever!