snipe hunt

from The American Heritage® Dictionary of the English Language, 5th Edition.

• noun An elaborate practical joke in which an unsuspecting person takes part in a bogus hunt for a snipe, typically being left alone in the dark with instructions not to move until the snipe appears.
• noun A futile search or endeavor.

from Wiktionary, Creative Commons Attribution/Share-Alike License.

• noun idiomatic A prank in which a gullible victim is sent off on a fruitless search for a nonexistent item.
• verb intransitive To participate, as the gullible victim, in a snipe hunt.

from WordNet 3.0 Copyright 2006 by Princeton University. All rights reserved.

• noun an elaborate practical joke in which the unsuspecting victim hunts a snipe and is typically left in the dark holding a bag and waiting for the snipe to run into it