Macbeth falls for several illusions throughout the play. His fervent ambition drives him to do dark things to avoid the fate the witches told him about. As he is responsible for more violence and death, he becomes increasingly paranoid. He not only believes in things that are not possible, but he sees illusions in front of him.
For example, right before he goes to kill Duncan so he himself can become king, Macbeth sees a bloody dagger floating through the air that is seemingly leading him to Duncan's bedroom. He does recognize that it could be "a dagger of the mind," but this illusion demonstrates the problems with Macbeth's ambition. Macbeth believes that the path he is going down in murdering Duncan will get him what he wants, but the dagger represents the fact that this action is doing nothing but bringing him down a bloody path of death and destruction.
Later, another significant illusion that Macbeth falls for is that of Banquo’s ghost. Macbeth marked Banquo for death, and thus, his appearance at the celebration represents Macbeth’s guilt and increasing paranoia. Macbeth ordered Banquo’s death because of his fervent ambition, but here, we see how over time, the path his ambition led him down made him paranoid and fearful. He is starting to lose his sanity, and thus, he believes Banquo’s ghost is really there.