Here you are a video taken form the documentary "Empire of the Eye: The Magic of Illusion" released in 2003, presented by da Al Roker, an american productor and actor.
It describes the spectacular illusion effect created by Palladio in the scenery of the Teatro Olimpico, with the following words:
"Illusion becomes pure theater in Teatro Olimpico di Vicenza, Andrea Palladio's last work. This extraordinary theater is designed in the style of a Roman amphitheater with phenomenal effect. Palladio takes us back in time. We enter into a spectacular and very special space, built in the 16th century. The Teatro Olimpico still operates today as a cultural center and as a theatre dedicated to presenting dramatic musical performances. Palladio created an imaginary world, the illusion of an outdoor theatre hidden like a secret treasure in the palace which houses and protects it..."