It strikes me that the Banach-Tarski paradox (rearranging ball partitions) is not dispelled even when you understand the underlying mathematics. Perhaps Parrondo's paradox in Game Theory (sawtooth losing → winning) is analogous, in that it retains for me a sense of magic even after studying simulations. Perhaps Simpson's paradox in statistics (two plusses's→minus) is borderline, in that, even though it is easy to fall into it, it is also easy to see why one's intuition was incorrect.
Q.Which mathematical "paradoxes" remain paradoxical even when you understand them thoroughly?
I would judge Braess' paradox (adding a shortcut to a road network impedes traffic) as the type of paradox that is dispelled upon understanding it. Whereas the Banach-Tarski paradox remains (for me) paradoxical even though I think I understand the mathematics behind it.
A defensible answer to Q is: No paradoxes remain paradoxical when thoroughly understood—that's what it means to "understand"!
One of my favorites: The real numbers are a vector space over the rationals. Therefore there is a basis for this vector space (a consequence of the Axiom of Choice), and such one basis must lie in the unit interval, since you can replace any basis element by a multiple between 0 and 1.
A lot of paradoxes come from the Axiom of Choice, which nevertheless strikes me as intuitive and a lot of paradoxes come from our failure to understand that infinite sets don't have to correspond to our expectations for finite sets.