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Doppler Effect
(xkcd.com)
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My understanding: light can best be described as an excitation of the electromagnetic field of spacetime. This excitation has a frequency, like an oscillation. Therefore light appears like a wave and we observe the Doppler effect. However, when interacting with other excitations, the "wave" collapses and behaves like a point like particle.
This applies not only to light, but to all known particles, e.g. the protons in your body. The only difference to photons are additional spacetime fields that are involved (like the Higgs field).
The weirdest part to me, is the collapse of the imaginary wave function and how it leads to ideas like "Many Worlds".
I always thought the observation collapse of the wave function thing was a little handwavey. I really don't have a resolution for it though, or an alternative.
For anyone not familiar, look up the double wave experiment.
It's not a thing that should happen, but it clearly does.
Neither does anyone really, it's a mystery physics has been trying to solve for the past 97 years.