I'm a massive fan of Derren Brown, and yes, it does work -- probably not as often as stage hypnotists would have us believe, of course. The technique in the video is simple misdirection, since people are very easily distracted, especially when they're involved in a fairly mindless activity like riding the train. It's really just a matter of understanding how people interpret clues in speech, voice tone, body language etc and then manipulating them. I can't do it though 
Think about the way your brain works when you're dropping off to sleep at night -- especially if it's in front of the tv, since you'll often end up "dreaming" yourself into the tv show in some way, or wake up convinced you've seen the end of some program but getting it completely wrong. I remember once my other half was at a friend's place watching the Old Firm game (he's a Celtic fan, all the other guys were Rangers). It was quite late and I'd stayed home but thought I should watch the game myself so I knew what the score was... so I did... and I watched the whole thing... then when he came home, he seemed in a good mood and I assumed it was because Celtic had won 3-0 like I saw, so I told him it was a brilliant result. Turned out Celtic had lost 3-1 and I'd probably gone to sleep after the first 10 minutes, when they scored the first goal. I was not popular... but I'm still convinced I saw every minute of that game!
Think about the way your brain works when you're dropping off to sleep at night -- especially if it's in front of the tv, since you'll often end up "dreaming" yourself into the tv show in some way, or wake up convinced you've seen the end of some program but getting it completely wrong. I remember once my other half was at a friend's place watching the Old Firm game (he's a Celtic fan, all the other guys were Rangers). It was quite late and I'd stayed home but thought I should watch the game myself so I knew what the score was... so I did... and I watched the whole thing... then when he came home, he seemed in a good mood and I assumed it was because Celtic had won 3-0 like I saw, so I told him it was a brilliant result. Turned out Celtic had lost 3-1 and I'd probably gone to sleep after the first 10 minutes, when they scored the first goal. I was not popular... but I'm still convinced I saw every minute of that game!
It could be worse