My high school science teacher explained it well with something a long the lines of "You can't grog it since you're big and stupid". Technically even normal measurement is action at a distance since we're collapsing a wave function that covers an area into a small point instantaneously. In entanglement the wave function is just spread out even further, but if we already accept wave functions over areas for particles it's not that big a stretch. Problem is that it obviously doesn't jive with what we have experience with everyday as big stupid people.