Using two different frequencies (one in each ear), the brain will actually perceive the difference between the two frequencies and instead of perceiving the frequencies played, the brain will instead perceive the frequency of the difference. For example, if the frequency of 160 Hz was played in one ear, and a frequency of 166 Hz was played in the other ear, the brain would start to perceive a playback of a 6Hz wave. On top of causing a strange perception of a phantom frequency, binaural beats can sometimes cause a kind of hypnotic daze in the listener and is said to possibly help individuals with creativity or lucid dreams.
Feel free to give a listen, it only works with stereo headphones and I found it works best with in-ear headphones. If, while you're listening, you remove one earbud, you will hear only the frequency of that side. However, when both played together, you hear a different tone.