A large wall of stone, brick, glass, or metal is erected on stage. The magician stands on one side of the wall. A curtain is raised, and a moment later lowered to reveal the magician standing on the other side of the wall -- apparently having walked right through it!
Science comes to the aid of magic once again! Decades ago Harry Houdini invented a crude contraption of vacuum tubes and wires that caused matter to vibrate at incredible speed. By strapping on the device, he used the vibrations to allow him to pass the molecules of his body through the empty spaces between molecules of other substances, effectively walking through a solid. The device would have caused great privacy and security concerns for the government and was therefore suppressed and its existence officially denied.
Fortunately, the device's secret has been passed down from magician to magician. Today's matter penetration devices are much smaller (about an inch square compared with Houdini's 3' x 3' model) thanks to the use of microchips and are powered with compact lithium batteries, making them suitable for hiding beneath clothing. Magicians are still required by law and government conspiracy to keep their existence secret, however, and those who use the device must practice for hours so that they do not sink into the stage floor.
Unfortunately, this device is too expensive for many magicians, and even those who can afford to buy one don't want to risk being caught with the thing and facing charges of treason with the possibility of summary execution. These magicians perform the walk through-a-wall trick by just climbing over the wall while the curtain is up. For some reason, nobody ever thinks of that.