If Klein Bottles - which have neither an inside nor an outside surface - aren't confusing enough for your, check these glass Klein bottles made by Alan Bennett for the Science Museum in London:
A single surface model made by Alan Bennett in Bedford, United Kingdom. It consists of three Klein bottles set inside each other to produce, when cut, three pairs of single-twist Mobius strips. A Klein bottle has no edges, no outside or inside and cannot be properly constructed in three dimensions. (Source)
A single surface model made by Alan Bennett in Bedford, 1995. It consists of a sphere with three interlinked loops the equivalent of three interconnected Klein bottles. (Source)
A single surface glass vessel made by Alan Bennett in Bedford, United Kingdom. It consists of a triple loop Klein bottle which when cut gives a pair of five-twist Mobius strips. (Source)
View those and many more neat Klein bottle images over at this Dark Roasted Blend post aptly titled Topological Marvel: The Klein Bottle in Art - Thanks Avi!